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JMLR
2012
12 years 2 months ago
Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso
We consider the sparse inverse covariance regularization problem or graphical lasso with regularization parameter λ. Suppose the sample covariance graph formed by thresholding th...
Rahul Mazumder, Trevor Hastie
CSDA
2007
114views more  CSDA 2007»
13 years 11 months ago
Relaxed Lasso
The Lasso is an attractive regularisation method for high dimensional regression. It combines variable selection with an efficient computational procedure. However, the rate of co...
Nicolai Meinshausen