The GVARCLUS Procedure
References
Banerjee, O., El Ghaoui, L., and d’Aspremont, A. (2008). “Model Selection through Sparse Maximum Likelihood Estimation for Multivariate Gaussian or Binary Data.” Journal of Machine Learning Research 9:485–516.
Friedman, J. H., Hastie, T., and Tibshirani, R. (2008). “Sparse Inverse Covariance Estimation with the Graphical Lasso.” Biostatistics 9:432–441.
Mazumder, R., and Hastie, T. (2012). “Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso.” Journal of Machine Learning Research 13:781–794.
Last updated: January 31, 2023