• Corpus ID: 6361228

Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso

@article{Mazumder2012ExactCT,
  title={Exact Covariance Thresholding into Connected Components for Large-Scale Graphical Lasso},
  author={Rahul Mazumder and Trevor J. Hastie},
  journal={Journal of machine learning research : JMLR},
  year={2012},
  volume={13},
  pages={
          781-794
        }
}
  • R. Mazumder, T. Hastie
  • Published 18 August 2011
  • Mathematics, Computer Science, Medicine
  • Journal of machine learning research : JMLR
We consider the sparse inverse covariance regularization problem or graphical lasso with regularization parameter λ. Suppose the sample covariance graph formed by thresholding the entries of the sample covariance matrix at λ is decomposed into connected components. We show that the vertex-partition induced by the connected components of the thresholded sample covariance graph (at λ) is exactly equal to that induced by the connected components of the estimated concentration graph, obtained by… 
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