A Stepwise Approach for High-Dimensional Gaussian Graphical Models
A Stepwise Approach for High-Dimensional Gaussian Graphical Models
We present a stepwise approach to estimate high dimensional Gaussian graphicalmodels. We exploit the relation between the partial correlation coefficientsand the distribution of the prediction errors, and parametrize the model in termsof the Pearson correlation coefficients between the prediction errors of the nodes’best linear predictors. We propose a novel stepwise …