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Author

Aryan Eftekhari

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Jul 2026

The Regularization Parameter: Sparse Precision Matrix Estimation

A closed-form, matrix-valued regularization parameter derived from the sampling distribution of the first-order optimality conditions of the Gaussian maximum-likelihood estimator is proposed, which achieves estimation accuracy comparable to cross-validation, delivers superior support recovery, and reduces runtime by se...

Aryan Eftekhari, D. Vega, Ernst C. Wit et al. · 0 citations

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