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Material Detail

A Pathwise Algorithm for Covariance Selection

A Pathwise Algorithm for Covariance Selection

This video was recorded at NIPS Workshops, Whistler 2009. 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.... Show More
Keywords:
videolectures, ocwc, oec
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More about this material

Material Type:
Presentation
Date Added to MERLOT:
February 10, 2015
Date Modified in MERLOT:
February 10, 2015
Author:
Submitter:
The Open Education Consortium
Primary Audience:
College General Ed, College Lower Division, College Upper Division
Technical Format:
Video
Mobile Compatibility:
Not specified at this time
Language:
English
Cost Involved:
No
Source Code Available:
No
Accessibility Information Available:
Unknown
Creative Commons:
Creative Commons License
This work is licensed under a Attribution-NonCommercial-NoDerivs 3.0 United States

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