Trans-Glasso: A Transfer Learning Approach to Precision Matrix Estimation
Trans-Glasso:精度矩阵估计的迁移学习方法
Precision matrix estimation is essential in various fields, yet it is challenging when samples for the target study are limited. Transfer learning can enhance estimation accuracy by leveraging data from related source studies. We propose Trans-Glasso, a two-step transfer learning method for precision matrix estimation. First, we obtain initial estimators using a multi-task learning objective that captures both shared and unique features across studies. Then, we refine these…