Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood

Journal of Multivariate Analysis

Volumn 111, Issue , 2012, Pages 241-255

  Lee, Wonyul ^a   Liu, Yufeng ^a  

^a University of North Carolina at Chapel Hill   (United States)

Author keywords

GLASSO; Inverse covariance matrix estimation; Joint estimation; LASSO; Multiple response; Sparsity

Indexed keywords

EID: 84863466895     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.03.013     Document Type: Article

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