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A note on the Lasso for Gaussian graphical model selection

By Nicolai Meinshausen

Abstract

Inspired by the success of the Lasso for regression analysis (Tibshirani, 1996), it seems attractive to estimate the graph of a multivariate normal distribution by ℓ1-norm penalised likelihood maximisation. The objective function is convex and the graph estimator can thus be computed efficiently, even for very large graphs. However, we show in this note that the resulting estimator is not consistent for some graphs.

Year: 2008
OAI identifier: oai:CiteSeerX.psu:10.1.1.353.1208
Provided by: CiteSeerX
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