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Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso

We consider the sparse inverse covariance regularization problem or graphical lasso with regularization parameter λ. Suppose the sample covariance graph formed by thresholding the entries of the sample covariance matrix at λ is decomposed into connected components. We show that the vertex-partition...

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Bibliografiska uppgifter
I publikationen:J Mach Learn Res
Huvudupphovsmän: Mazumder, Rahul, Hastie, Trevor
Materialtyp: Artigo
Språk:Inglês
Publicerad: 2012
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Länkar:https://ncbi.nlm.nih.gov/pmc/articles/PMC4225650/
https://ncbi.nlm.nih.gov/pubmed/25392704
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