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stat.CO2022
An efficient GPU-Parallel Coordinate Descent Algorithm for Sparse Precision Matrix Estimation via Scaled Lasso
Seunghwan Lee, Sang Cheol Kim, Donghyeon Yu
The sparse precision matrix plays an essential role in the Gaussian graphical model since a zero off-diagonal element indicates conditional independence of the corresponding two va…
stat.CO2021
An efficient parallel block coordinate descent algorithm for large-scale precision matrix estimation using graphics processing units
Young-Geun Choi, Seunghwan Lee, Donghyeon Yu
Large-scale sparse precision matrix estimation has attracted wide interest from the statistics community. The convex partial correlation selection method (CONCORD) developed by Kha…