A computationally fast alternative to cross-validation in penalized Gaussian graphical models

Journal of Statistical Computation and Simulation

Volumn 85, Issue 18, 2015, Pages 3628-3640

  Vujačić, Ivan ^a   Abbruzzo, Antonino ^b   Wit, Ernst ^a  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b UNIVERSITY OF PALERMO   (Italy)

Author keywords

cross validation; Gaussian graphical model; generalized approximate cross validation; information criteria; Kullback Leibler loss; penalized estimation

Indexed keywords

EID: 84942193070     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949655.2014.992020     Document Type: Article

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