Publication: GGM updating in JMVA
Our paper on updating of the Gaussian graphical model after the arrival of novel data has been accepted for publication in the Journal of Multivariate Analysis. An update is obtained through the application of our previous work: ridge estimation of the precision matrix but now using the previous estimate as a shrinkage target. The accepted paper also shows that the employed shrinkage estimator, when updated iteratively, is consistent. Moreover, it provides insight into the workings of this form of updating.