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stat.ME2022★ 1 cited
Robust graphical lasso based on multivariate Winsorization
Ginette Lafit, Francisco Nogales, Marcelo Ruiz +1
We propose the use of a robust covariance estimator based on multivariate Winsorization in the context of the Tarr-Muller-Weber framework for sparse estimation of the precision mat…
stat.ME2018
A Stepwise Approach for High-Dimensional Gaussian Graphical Models
Ginette Lafit, Francisco J. Nogales, Marcelo Ruiz +1
We present a stepwise approach to estimate high dimensional Gaussian graphical models. We exploit the relation between the partial correlation coefficients and the distribution of…