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: July 02, 2026