Sure Screening for Gaussian Graphical Models

29 Jul 2014 Shikai Luo Rui Song Daniela Witten

We propose {graphical sure screening}, or GRASS, a very simple and computationally-efficient screening procedure for recovering the structure of a Gaussian graphical model in the high-dimensional setting. The GRASS estimate of the conditional dependence graph is obtained by thresholding the elements of the sample covariance matrix... (read more)

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