Application of fused graphical lasso to statistical inference for multiple sparse precision matrices

HIGHLIGHTS

• What: The authors propose the oracle inequality for FGL lasso under the K=2 situation. One may want to test whether the elements of the precision matrix over two groups are equal: ½2=H0: Y½1=0ij=Y0ij ½2=H1: Y½1=0ij 6=Y0ij: vs: To test Hypothesis , the authors aim to obtain confidence intervals for estimators based on the de-biasing technique, which is imposed for eliminating the bias associated with the pen^ ½k==2Y ^ ½k=. For p=n, the authors provide the following theorem. pffiffiffi pffiffiffiffiffiffiffiffiffiffiffiffiffiffi pffiffiffi Theorem 6 Assuming Conditions 1, 2, and . . .
  

   

  

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