most citedSparse Covariance Selection via Robust Maximum Likelihood Estimation

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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…