Targeted Fused Ridge Estimation of Inverse Covariance Matrices from Multiple High-Dimensional Data Classes

Anders Ellern Bilgrau, Carel F. W. Peeters, Poul Svante Eriksen +2

We consider the problem of jointly estimating multiple inverse covariance matrices from high-dimensional data consisting of distinct classes. An ${\ell }_2$-penalized maximum likeliho…