Statistics Seminar
| Date/Time: | Monday, 03 Nov 2014 from 4:10 pm to 5:00 pm |
|---|---|
| Location: | Snedecor 3105 |
| Cost: | Free |
| URL: | www.stat.iastate.edu |
| Contact: | Jeanette La Grange |
| Phone: | 515-294-3440 |
| Channel: | College of Liberal Arts and Sciences |
| Categories: | Lectures |
| Actions: | Download iCal/vCal | Email Reminder |
We establish a necessary and sufficient condition for the existence of the precision matrix estimate obtained by minimizing the negative 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. A new algorithm to solve this optimization with the weighted Ridge penalty is developed and its convergence is established. This algorithm combines the majorize minimize principle with minorize minimize acceleration attempts. Numerical experiments show cases where this algorithm is superior to its competitor.