The Goodness of Covariance Selection Problem from AUC Bounds
Khajavi, Navid Tafaghodi; Kuh, Anthony;
Subject: Computer Science - Information Theory
We conduct a study of graphical models and discuss the quality of model selection approximation by formulating the problem as a detection problem and examining the area under the curve (AUC). We are specifically looking at the model selection problem for jointly Gaussia... View more
 A. P. Dempster, “Covariance selection,” Biometrics, vol. 28, no. 1, pp. 157-175, March 1972.
 Steffen L Lauritzen, Graphical models, Clarendon Press, 1996.
 C. K. Chow and C. N. Liu, “Approximating discrete probability distributions with dependence trees,” IEEE Transactions on Information Theory, pp. 462-467, 1968.
 N. T. Khajavi and A. Kuh, “First order markov chain approximation of microgrid renewable generators covariance matrix,” in Proc. of IEEE International Symposium on Information Theory, Istanbul, Turkey (ISIT' 13), July 2013, pp. 1207-1211.
 N. Meinshausen and P. Buhlmann, “Model selection through sparse maximum likelihood estimation,” Annals of Statistics, pp. 1436-1464, 2006.
 Jerome Friedman, Trevor Hastie, and Robert Tibshirani, “Sparse inverse covariance estimation with the graphical lasso,” Biostatistics, vol. 9, no. 3, pp. 432-441, 2008.
 J. B. Kruskal, “On the shortest spanning subtree of a graph and the traveling salesman problem,” Proceedings of the American Mathematical society, vol. 7, no. 1, pp. 48-50, 1956.