Shrinking characteristics of precision matrix estimators
精度矩阵估计量特征的收缩
We propose a framework to shrink a user-specified characteristic of a precision matrix estimator that is needed to fit a predictive model. Estimators in our framework minimize the Gaussian negative loglikelihood plus an |$L_1$| penalty on a linear or affine function evaluated at the optimization variable corresponding to the precision matrix. We establish convergence rate bounds for these estimators and propose an alternating direction method of multipliers algorithm for…