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Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data. (English) Zbl 1435.62190

The main contribution of this article is an alternative convex optimization algorithm based on the alternating direction method of multipliers (proposed by S. Boyd et al. in seminar paper [Found. Trends Mach. Learn. 3, No. 1, 1–122 (2010; Zbl 1229.90122)]) and the graphical Lasso scheme. The rates of convergence in terms of the Frobenius norm are established. The efficiency of the proposed estimator is evaluated on microarray time series data for T-cell activation.

MSC:

62H12 Estimation in multivariate analysis
62F12 Asymptotic properties of parametric estimators
62H11 Directional data; spatial statistics
62J07 Ridge regression; shrinkage estimators (Lasso)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Citations:

Zbl 1229.90122

Software:

glasso
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Full Text: DOI

References:

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