We establish a necessary and sufficient condition for the exis- tence of the precision matrix estimator obtained by minimizing the nega- tive Gaussian log-likelihood plus a weighted bridge penalty. This condition enables us to connect the literature on Gaussian graphical models to the literature on penalized Gaussian likelihood.
Bibliographical notePublisher Copyright:
© 2014, Institute of Mathematical Statistics. All rights received.
- High-dimensional data
- Precision matrix
- Ridge penalty