Skip to main content
Article thumbnail
Location of Repository

A note on the Lasso for Gaussian graphical model selection

By Nicolai Meinshausen


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:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.