High-dimensional covariance estimation by minimizing ${\ell }_1$-penalized log-determinant divergence

Pradeep Ravikumar, Martin J. Wainwright, Garvesh Raskutti +1

Given i.i.d. observations of a random vector $X\in {\mathbb{R}}^p$, we study the problem of estimating both its covariance matrix ${\Sigma }^{\ast }$, and its inverse covariance or concentration…