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Sparsistent Estimation for Constrained Extremal Graphical Lasso
Sourced from the work of Sebastian Engelke, Michael Lalancette, Stanislav Volgushev
§ Problem Statement
Setup
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§ Discussion
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§ Significance & Implications
§ Known Partial Results
§ References
[1]
Learning extremal graphical structures in high dimensions
Sebastian Engelke, Michael Lalancette, Stanislav Volgushev (2021)
Annals of Statistics (to appear)
📍 Section 7 (Extensions and future work), unnumbered paragraph on the constrained extremal graphical lasso (not sparsistent with vanilla $L^1$; adaptive/nonconvex penalties suggested), no theorem/conjecture number.
Source paper where this problem appears.