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A Pathwise Algorithm for Covariance Selection
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A Pathwise Algorithm for Covariance Selection
classification
math.OC
keywords
covariancematrixalgorithminverselikelihoodselectioncoefficientscomputing
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Covariance selection seeks to estimate a covariance matrix by maximum likelihood while restricting the number of nonzero inverse covariance matrix coefficients. A single penalty parameter usually controls the tradeoff between log likelihood and sparsity in the inverse matrix. We describe an efficient algorithm for computing a full regularization path of solutions to this problem.
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