Joint Estimation of Precision Matrices in Heterogeneous Populations

no code implementations • 2 Jan 2016 • Takumi Saegusa, Ali Shojaie

Further, to extend the applicability of the method to the settings with unknown populations structure, we propose a Laplacian penalty based on hierarchical clustering, and discuss conditions under which this data-driven choice results in consistent estimation of precision matrices in heterogenous populations.

Clustering Variable Selection