On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator

Adam J. Rothman, Liliana Forzani

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We establish a necessary and sufficient condition for the exis- tence of the precision matrix estimator obtained by minimizing the nega- tive Gaussian log-likelihood plus a weighted bridge penalty. This condition enables us to connect the literature on Gaussian graphical models to the literature on penalized Gaussian likelihood.

Original languageEnglish (US)
Pages (from-to)2693-2700
Number of pages8
JournalElectronic Journal of Statistics
Volume8
DOIs
StatePublished - 2015

Keywords

  • High-dimensional data
  • Precision matrix
  • Ridge penalty
  • Sparsity

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