Sparse Matrix Graphical Models

  title={Sparse Matrix Graphical Models},
  author={Chenlei Leng and Cheng Yong Tang},
Matrix-variate observations are frequently encountered in many contemporary statistical problems due to a rising need to organize and analyze data with structured information. In this paper, we propose a novel sparse matrix graphical model for this type of statistical problems. By penalizing respectively two precision matrices corresponding to the rows and columns, our method yields a sparse matrix graphical model that synthetically characterizes the underlying conditional independence… CONTINUE READING
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