Joint Estimation of Precision Matrices in Heterogeneous Populations

2 Jan 2016Takumi SaegusaAli Shojaie

We introduce a general framework for estimation of inverse covariance, or precision, matrices from heterogeneous populations. The proposed framework uses a Laplacian shrinkage penalty to encourage similarity among estimates from disparate, but related, subpopulations, while allowing for differences among matrices... (read more)

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