Slope Heuristic for Block-Diagonal Covariance Selection in High Dimensional Gaussian Graphical Models
Compute the log-likelihood of the model
Network inference using the glasso algorithm
Slope Heuristic for Block-Diagonal Covariance Selection in High Dimens...
Shock selection
Simulate a modular network
Detect partitions of variables into blocks.
Block-diagonal covariance selection for high dimensional Gaussian graphical models. The selection procedure is based on the slope heuristics.