Kronecker graphical lasso

Abstract

We consider high-dimensional estimation of a (possibly sparse) Kronecker-decomposable covariance matrix given i.i.d. Gaussian samples. We propose a sparse covariance estimation algorithm, Kronecker Graphical Lasso (KGlasso), for the high dimensional setting that takes advantage of structure and sparsity. Convergence and limit point characterization of this… (More)
DOI: 10.1109/SSP.2012.6319849

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