A note on the Lasso for Gaussian graphical model selection

Nicolai Meinshausen

Statistics & Probability Letters, 2008, vol. 78, issue 7, 880-884

Abstract: Inspired by the success of the Lasso for regression analysis, it seems attractive to estimate the graph of a multivariate normal distribution by l1-norm penalized likelihood maximization. We examine some properties of the estimator and show that care has to be taken with interpretation of results as the estimator is not consistent for some graphs.

Date: 2008
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