Avagyan, Vahe; Alonso, Andrés M.; Nogales, Francisco J. - Departamento de Estadistica, Universidad Carlos III de … - 2014
In this paper, we focus on the estimation of a high-dimensional precision matrix. We propose a simple improvement of the graphical lasso framework (glasso) that is able to attain better statistical performance without sacrificing too much the computational cost. The proposed improvement is based...