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http://dx.doi.org/10.7465/jkdi.2014.25.4.881

Comparison of model selection criteria in graphical LASSO  

Ahn, Hyeongseok (Department of Statistics, University of Seoul)
Park, Changyi (Department of Statistics, University of Seoul)
Publication Information
Journal of the Korean Data and Information Science Society / v.25, no.4, 2014 , pp. 881-891 More about this Journal
Abstract
Graphical models can be used as an intuitive tool for modeling a complex stochastic system with a large number of variables related each other because the conditional independence between random variables can be visualized as a network. Graphical least absolute shrinkage and selection operator (LASSO) is considered to be effective in avoiding overfitting in the estimation of Gaussian graphical models for high dimensional data. In this paper, we consider the model selection problem in graphical LASSO. Particularly, we compare various model selection criteria via simulations and analyze a real financial data set.
Keywords
Conditional independence; Gaussian graphical model; high-dimensional data;
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Times Cited By KSCI : 2  (Citation Analysis)
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