A Pathwise Algorithm for Covariance Selection/TITLE> <META http-equiv=Content-Type content="text/html; charset=windows-1252"> </HEAD> <BODY> <UL> <LI>TITLE: <B>A Pathwise Algorithm for Covariance Selection</B>. <LI>AUTHORS: <A href="http://www.princeton.edu/~kvijay">Vijay Krishnamurthy</a>, <a href="http://www.princeton.edu/~aspremon">Alexandre d'Aspremont</A> <LI>ABSTRACT: Covariance selection seeks to estimate a covariance matrix by maximum likelihood while restricting the number of nonzero inverse covariance matrix coefficients. A single penalty parameter usually controls the tradeoff between log likelihood and sparsity in the inverse matrix. We describe an efficient algorithm for computing a full regularization path of solutions to this problem. </P> <LI>STATUS: Submitted.</LI> <LI>ArXiv PREPRINT: <A href="http://arxiv.org/abs/0908.0143">0908.0143</A></LI> <LI>PAPER: <A href="http://www.princeton.edu/~aspremon/pathSol.pdf">A Pathwise Algorithm for Covariance Selection</A> in pdf.</LI> </UL> <HR> <A href="http://www.princeton.edu/~aspremon">Back to Alexandre d'Aspremont's page</A>  <script type="text/javascript" language="javascript"> var sc_project=932782; var sc_invisible=1; var sc_partition=7; var sc_security="494a69e8"; </script> <script type="text/javascript" language="javascript" src="http://www.statcounter.com/counter/counter.js"></script><noscript><a href="http://www.statcounter.com/" target="_blank"><img src="http://c8.statcounter.com/counter.php?sc_project=932782&java=0&security=494a69e8&invisible=1" alt="free stats" border="0"></a> </noscript>  </BODY> </HTML>