arxivstat.MLcs.LG2026-07-07
The Regularization Parameter: Sparse Precision Matrix Estimation
Aryan Eftekhari, Daniel Sergio Vega, Ernst-Jan Camiel Wit, Olaf Schenk
Sparse precision matrix estimation provides an interpretable and computationally efficient framework for modeling conditional dependencies in high-dimensional, low-sample-size data. A recurring challenge is appropriately selecting the regularization parameter that controls estima…