<formula formulatype="inline"><tex Notation="TeX">$l_{0}$</tex></formula> Sparse Inverse Covariance Estimation
<formula formulatype="inline"><tex Notation="TeX">$l_{0}$</tex></formula> Sparse Inverse Covariance Estimation
Recently, there has been focus on penalized log-likelihood covariance estimation for sparse inverse covariance (precision) matrices. The penalty is responsible for inducing sparsity, and a very common choice is the convex l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> norm. However, the best estimator performance is not always achieved with this penalty. The most …