On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator

Adam J. Rothman; Liliana Forzani

doi:10.1214/14-EJS973

On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator

Adam J. Rothman, Liliana Forzani

Statistics (Twin Cities)

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

We establish a necessary and sufficient condition for the exis- tence of the precision matrix estimator obtained by minimizing the nega- tive Gaussian log-likelihood plus a weighted bridge penalty. This condition enables us to connect the literature on Gaussian graphical models to the literature on penalized Gaussian likelihood.

Original language	English (US)
Pages (from-to)	2693-2700
Number of pages	8
Journal	Electronic Journal of Statistics
Volume	8
DOIs	https://doi.org/10.1214/14-EJS973
State	Published - 2015

Bibliographical note

Publisher Copyright:
© 2014, Institute of Mathematical Statistics. All rights received.

Keywords

High-dimensional data
Precision matrix
Ridge penalty
Sparsity

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title = "On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator",

abstract = "We establish a necessary and sufficient condition for the exis- tence of the precision matrix estimator obtained by minimizing the nega- tive Gaussian log-likelihood plus a weighted bridge penalty. This condition enables us to connect the literature on Gaussian graphical models to the literature on penalized Gaussian likelihood.",

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On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator

Abstract

Bibliographical note

Keywords

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