Robust Multivariate Lasso Regression with Covariance Estimation

Multivariate regression with covariance estimation (MRCE) is a method that performs sparse estimation of multivariate regression coefficients, while taking account the covariance structure of the response variables. MRCE uses a penalized likelihood approach to simultaneously estimate the regression...

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Bibliographic Details

Published in:	Journal of computational and graphical statistics Vol. 32; no. 3; pp. 961 - 973
Main Authors:	Chang, Le, Welsh, A. H.
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 03.07.2023 Taylor & Francis Ltd
Subjects:	Algorithms Covariance matrix Graphical lasso Lasso Multivariate analysis Multivariate regression Optimization Oracal property Outliers (statistics) Proximal gradient algorithm Regression coefficients Robust estimation Robustness (mathematics)
ISSN:	1061-8600, 1537-2715
Online Access:	Get full text
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