A Pathwise Algorithm for Covariance Selection
Krishnamurthy, Vijay, Alexandre d’Aspremont · arXiv (Cornell University) · 2009
Covariance selection seeks to estimate a covariance matrix by maximum likelihood while restricting the number of nonzero inverse covariance matrix coefficients. A single penalty parameter usually controls the tradeoff between log likelihood and sparsity in the inverse matrix. We describe an efficient algorithm for computing a full regularization path of solutions to this problem.