README.md

Statistics basics and Gaussian Graphical Model (GGM) in R

Statistics basics

group_lasso_and_sparse_group_lasso.ipynb

Group Lasso: Yuan, Ming, and Yi Lin. "Model selection and estimation in regression with grouped variables." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 68.1 (2006): 49-67.

Sparse Group Lasso: Friedman, Jerome, Trevor Hastie, and Robert Tibshirani. "A note on the group lasso and a sparse group lasso." arXiv preprint arXiv:1001.0736 (2010).

Replications of methods for GGM

graphical_lasso.ipynb

Graphical Lasso (GLasso): Friedman, Jerome, Trevor Hastie, and Robert Tibshirani. "Sparse inverse covariance estimation with the graphical lasso." Biostatistics 9.3 (2008): 432-441.