Tan, Kean Ming; Witten, Daniela; Shojaie, Ali - In: Computational Statistics & Data Analysis 85 (2015) C, pp. 23-36
The task of estimating a Gaussian graphical model in the high-dimensional setting is considered. The graphical lasso, which involves maximizing the Gaussian log likelihood subject to a lasso penalty, is a well-studied approach for this task. A surprising connection between the graphical lasso...