Covariance Estimation

• QUIC & DIRTY: A Quadratic Approximation Approach for Dirty Statistical Models (pdf, software)
  C. Hsieh, I. Dhillon, P. Ravikumar, S. Becker, P. Olsen.
  In Neural Information Processing Systems (NIPS), pp. 2006–2014, December 2014.
• QUIC: Quadratic Approximation for Sparse Inverse Covariance Matrix Estimation (pdf, software)
  C. Hsieh, M. Sustik, I. Dhillon, P. Ravikumar.
  Journal of Machine Learning Research (JMLR), October 2014.
• BIG & QUIC: Sparse Inverse Covariance Estimation for a Million Variables (pdf, software)
  C. Hsieh, M. Sustik, I. Dhillon, P. Ravikumar, R. Poldrack.
  In Neural Information Processing Systems (NIPS), December 2013. (Oral)
• Large Scale Distributed Sparse Precision Estimation (pdf, software)
  H. Wang, C. Hsieh, A. Banerjee, P. Ravikumar, I. Dhillon.
  In Neural Information Processing Systems (NIPS), December 2013.
• A Divide-and-Conquer Method for Sparse Inverse Covariance Estimation (pdf, software)
  C. Hsieh, I. Dhillon, P. Ravikumar, A. Banerjee.
  In Neural Information Processing Systems (NIPS), pp. 2339-2347, December 2012.
• High-dimensional Sparse Inverse Covariance Estimation using Greedy Methods (pdf, software)
  A. Jalali, C. Johnson, P. Ravikumar.
  In International Conference on Artificial Intelligence and Statistics (AISTATS), 2012.
• Sparse Inverse Covariance Matrix Estimation using Quadratic Approximation (pdf, software)
  C. Hsieh, M. Sustik, I. Dhillon, P. Ravikumar.
  In Neural Information Processing Systems (NIPS), December 2011.
• High dimensional covariance estimation by minimizing l1-penalized log-determinant divergence (pdf, software)
  P. Ravikumar, M. Wainwright, B. Yu, G. Raskutti.
  Electronic Journal of Statistics (EJS) 5, pp. 935-980, 2011.