IMAL 13325
INSTITUTO DE MATEMATICA APLICADA DEL LITORAL "DRA. ELEONOR HARBOURE"
Unidad Ejecutora - UE
artículos
Título:
On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator
Autor/es:
ADAM J. ROTHMAN; LILIANA FORZANI
Revista:
Electronic Journal of Statistics
Editorial:
The Institute of Mathematical Statistics and the Bernoulli Society
Referencias:
Año: 2014 vol. 8 p. 2693 - 2700
ISSN:
1935-7524
Resumen:
We establish a necessary and sufficient condition for the existence of the precision matrix estimator obtained by minimizing the negative Gaussian log-likelihood plus a weighted bridge penalty. This condition enables us to connect the literature on Gaussian graphical models to the literature on penalized Gaussian likelihood.
