Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Estimation of Gaussian graphs by model selection

Abstract : Our aim in this paper is to investigate Gaussian graph estimation from a theoretical and non-asymptotic point of view. We start from a n-sample of a Gaussian law P_C in R^p and we focus on the disadvantageous case where n is smaller than p. To estimate the graph of conditional dependences of P_C, we propose to introduce a collection of candidate graphs and then select one of them by minimizing a penalized empirical risk. Our main result assess the performance of the procedure in a non-asymptotic setting. We pay a special attention to the maximal degree D of the graphs that we can handle, which turns to be roughly n/(2log p).
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [16 references]  Display  Hide  Download
Contributor : Jean-Louis Thomin <>
Submitted on : Monday, October 29, 2007 - 2:38:45 PM
Last modification on : Monday, October 12, 2020 - 10:27:30 AM
Long-term archiving on: : Monday, September 24, 2012 - 2:11:29 PM


Files produced by the author(s)


  • HAL Id : hal-00180837, version 1



Christophe Giraud. Estimation of Gaussian graphs by model selection. 2007. ⟨hal-00180837⟩



Record views


Files downloads