most citedSparse Covariance Selection via Robust Maximum Likelihood Estimation

11 citations · 15 across the 2 of their papers we have counts for

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2 papers

math.OC2006★ 4 cited

First-order methods for sparse covariance selection

Alexandre d'Aspremont, Onureena Banerjee, Laurent El Ghaoui

Given a sample covariance matrix, we solve a maximum likelihood problem penalized by the number of nonzero coefficients in the inverse covariance matrix. Our objective is to find a…

cs.CE2005★ 11 cited

Sparse Covariance Selection via Robust Maximum Likelihood Estimation

Onureena Banerjee, Alexandre d'Aspremont, Laurent El Ghaoui

We address a problem of covariance selection, where we seek a trade-off between a high likelihood against the number of non-zero elements in the inverse covariance matrix. We solve…