On the inconsistency of $\ell_1$-penalised sparse precision matrix estimation

no code implementations • 8 Mar 2016 • Otte Heinävaara, Janne Leppä-aho, Jukka Corander, Antti Honkela

Various $\ell_1$-penalised estimation methods such as graphical lasso and CLIME are widely used for sparse precision matrix estimation.