Rolfs, Benjamin T.; Rajaratnam, Bala - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 429-434
The graphical lasso (glasso) is a widely-used fast algorithm for estimating sparse inverse covariance matrices. The … glasso solves an ℓ1 penalized maximum likelihood problem and is available as an R library on CRAN. The output from the glasso … others. The glasso indeed produces a covariance matrix estimate Σˆglasso which solves the ℓ1 penalized optimization problem …