\begin{thebibliography}{37}
\providecommand{\natexlab}[1]{#1}
\providecommand{\url}[1]{\texttt{#1}}
\expandafter\ifx\csname urlstyle\endcsname\relax
  \providecommand{\doi}[1]{doi: #1}\else
  \providecommand{\doi}{doi: \begingroup \urlstyle{rm}\Url}\fi

\bibitem[Banerjee et~al.(2008)Banerjee, Ghaoui, and d'Aspremont]{BGA08}
Onureena Banerjee, Laurent~El Ghaoui, and Alexandre d'Aspremont.
\newblock Model selection through sparse maximum likelihood estimation for
  multivariate {G}aussian or binary data.
\newblock \emph{Journal of Machine Learning Research}, 9:\penalty0 485--516,
  2008.

\bibitem[Bickel and Levina(2004)]{BL04}
Peter~J. Bickel and Elizaveta Levina.
\newblock Some theory for {F}isher's linear discriminant function, "naive
  {B}ayes", and some alternatives when there are many morevariables than
  observations.
\newblock \emph{Bernoulli}, 10:\penalty0 989--1010, 2004.

\bibitem[Bickel and Levina(2008)]{BL08}
Peter~J. Bickel and Elizaveta Levina.
\newblock Regulatized estimation of large covariance matrices.
\newblock \emph{The Annals of Statistics}, 36:\penalty0 199--227, 2008.

\bibitem[Bickel et~al.(2009)Bickel, Ritov, and Tsybakov]{BRT09}
Peter~J. Bickel, Ya'acov Ritov, and Alexander~B. Tsybakov.
\newblock Simultaneous analysis of {L}asso and {D}antzig selector.
\newblock \emph{The Annals of Statistics}, 37:\penalty0 1705--1732, 2009.

\bibitem[B\"uhlmann and Meier(2008)]{BuehMeier08}
Peter B\"uhlmann and Lukas Meier.
\newblock Discussion: One-step sparse estimates in nonconcave penalized
  likelihood models.
\newblock \emph{The Annals of Statistics}, 36:\penalty0 1534--1541, 2008.

\bibitem[Cand\`{e}s and Tao(2007)]{CT07}
E.~Cand\`{e}s and T.~Tao.
\newblock The {D}antzig selector: statistical estimation when p is much larger
  than n.
\newblock \emph{Annals of Statistics}, 35\penalty0 (6):\penalty0 2313--2351,
  2007.

\bibitem[Chaudhuri et~al.(2007)Chaudhuri, Drton, and Richardson]{ChDR07}
Sanjay Chaudhuri, Mathias Drton, and Thomas~S. Richardson.
\newblock Estimation of a covariance matrix with zeros.
\newblock \emph{Biometrika}, 94:\penalty0 1--18, 2007.

\bibitem[d'Aspremont et~al.(2008)d'Aspremont, Banerjee, and Ghaoui]{ABG08}
Alexandre d'Aspremont, Onureena Banerjee, and Laurent~El Ghaoui.
\newblock First-order methods for sparse covariance selection.
\newblock \emph{SIAM Journal on Matrix Analysis and Applications}, 30:\penalty0
  56--66, 2008.

\bibitem[Fan et~al.(2009)Fan, Feng, and Wu]{FFW09}
Jianqing Fan, Yang Feng, and Yichao Wu.
\newblock Network exploration via the adaptive lasso and scad penalties.
\newblock \emph{The Annals of Applied Statistics}, 3:\penalty0 521--541, 2009.

\bibitem[Friedman et~al.(2007)Friedman, Hastie, and Tibshirani]{FHT07}
Jerome Friedman, Trevor Hastie, and Robert Tibshirani.
\newblock Sparse inverse covariance estimation with the graphical {L}asso.
\newblock \emph{Biostatistics}, 9:\penalty0 432--441, 2007.

\bibitem[Friedman et~al.(2010)Friedman, Hastie, and Tibshirani]{FHTglmnet10}
Jerome Friedman, Trevor Hastie, and Rob Tibshirani.
\newblock Regularization paths for generalized linear models via coordinate
  descent.
\newblock \emph{Journal of Statistical Software}, 33, 2010.

\bibitem[Furrer and Bengtsson(2007)]{FB07}
Reinhard Furrer and Thomas Bengtsson.
\newblock Estimation of high-dimensional prior and posterior covariance
  matrices in {K}alman filter variants.
\newblock \emph{Journal of Multivariate Analysis}, 98:\penalty0 227--255, 2007.

\bibitem[Huang et~al.(2008)Huang, Ma, and Zhang]{HMZ08}
Jian Huang, Shuangge Ma, and Cun-Hui Zhang.
\newblock Adaptive {L}asso for sparse highdimensional regression.
\newblock \emph{Statistica Sinica}, 18:\penalty0 1603--1618, 2008.

\bibitem[Huang et~al.(2006)Huang, Liu, Pourahmadi, and Liu]{HPL06}
Jianhua~Z. Huang, Naiping Liu, Mohsen Pourahmadi, and Linxu Liu.
\newblock Covariance matrix selection and estimation via penalised normal
  likelihood.
\newblock \emph{Biometrika}, 93:\penalty0 85--98, 2006.

\bibitem[Johnstone(2001)]{Joh01}
I.~Johnstone.
\newblock Chi-square oracle inequalities.
\newblock \emph{In State of the Art in Probability and Statistics, Festchrift
  for Willem R. van Zwet, M. de Gunst and C. Klaassen and A. van der Waart
  editors, IMS Lecture Notes - Monographs}, 36:\penalty0 399--418, 2001.

\bibitem[Lam and Fan(2009)]{LaFa09}
Clifford Lam and Jianqing Fan.
\newblock Sparsistency and rates of convergence in large covariance matrices
  estimation.
\newblock \emph{The Annals of Statistics}, 37:\penalty0 4254--4278, 2009.

\bibitem[Levina et~al.(2008)Levina, Rothman, and Zhu]{LRZ08}
Elizaveta Levina, Adam Rothman, and Ji~Zhu.
\newblock Sparse estimation of large covariance matrices via a nested {L}asso
  penalty.
\newblock \emph{The Annals of Applied Statistics}, 2:\penalty0 245--263, 2008.

\bibitem[Meinshausen and Yu(2009)]{MY09}
N.~Meinshausen and B.~Yu.
\newblock {L}asso-type recovery of sparse representations for high-dimensional
  data.
\newblock \emph{Annals of Statistics}, 37\penalty0 (1):\penalty0 246--270,
  2009.

\bibitem[Meinshausen(2007)]{Mei07}
Nicolai Meinshausen.
\newblock Relaxed {L}asso.
\newblock \emph{Computational Statistics and Data Analysis}, 52:\penalty0
  374--393, 2007.

\bibitem[Meinshausen(2008)]{Mei08}
Nicolai Meinshausen.
\newblock A note on the {L}asso for gaussian graphical model selection.
\newblock \emph{Statistics and Probability Letters}, 78:\penalty0 880--884,
  2008.

\bibitem[Meinshausen and B\"uhlmann(2006)]{MB06}
Nicolai Meinshausen and Peter B\"uhlmann.
\newblock High dimensional graphs and variable selection with the {L}asso.
\newblock \emph{The Annals of Statistics}, 34:\penalty0 1436--1462, 2006.

\bibitem[Ravikumar et~al.(2008)Ravikumar, Wainwright, Raskutti, and Yu]{RWRY08}
Pradeep Ravikumar, Martin Wainwright, Garvesh Raskutti, and Bin Yu.
\newblock High-dimensional covariance estimation by minimizing
  $\ell_1$-penalized log-determinant divergence.
\newblock In \emph{Advances in Neural Information Processing Systems}. MIT
  Press, 2008.
\newblock longer version in arXiv:0811.3628v1.

\bibitem[Rothman et~al.(2008)Rothman, Bickel, Levina, and Zhu]{RBLZ08}
Adam~J. Rothman, Peter~J. Bickel, Elizaveta Levina, and Ji~Zhu.
\newblock Sparse permutation invariant covariance estimation.
\newblock \emph{Electronic Journal of Statistics}, 2:\penalty0 494--515, 2008.

\bibitem[R\"utimann and B\"uhlmann(2009)]{RuBu09}
Philipp R\"utimann and Peter B\"uhlmann.
\newblock High dimensional sparse covariance estimation via directed acyclic
  graphs.
\newblock \emph{Electronic Journal of Statistics}, 3:\penalty0 1133--1160,
  2009.

\bibitem[van~de Geer et~al.(2010)van~de Geer, B\"uhlmann, and Zhou]{GBZ10}
Sara van~de Geer, Peter B\"uhlmann, and Shuheng Zhou.
\newblock The adaptive and the thresholded {L}asso for potentially misspecified
  models.
\newblock arXiv:1001.5176v3, 2010.

\bibitem[West et~al.(2001)West, Blanchette, Dressman, Huang, Ishida, Spang,
  Zuzan, Jr., Marks, and Nevins]{WEST01}
M.~West, C.~Blanchette, H.~Dressman, E.~Huang, S.~Ishida, R.~Spang, H.~Zuzan,
  J.A.~Olson Jr., J.R. Marks, and J.R. Nevins.
\newblock Predicting the clinical status of human breast cancer by using gene
  expression profiles.
\newblock \emph{PNAS}, 98:\penalty0 11462--11467, 2001.

\bibitem[Wille et~al.(2004)Wille, Zimmermann, Vranova, F\"urholz, Laule,
  Bleuler, Hennig, Prelic, von Rohr, Thiele, Zitzler, Gruissem, and
  B\"uhlmann]{AWPB04}
Anja Wille, Philip Zimmermann, Eva Vranova, Andreas F\"urholz, Oliver Laule,
  Stefan Bleuler, Lars Hennig, Amela Prelic, Peter von Rohr, Lothar Thiele,
  Eckart Zitzler, Wilhelm Gruissem, and Peter B\"uhlmann.
\newblock Sparse graphical {G}aussian modeling of the isoprenoid gene network
  in arabidopsis thaliana.
\newblock \emph{Genome Biology}, 5:\penalty0 R92, 2004.

\bibitem[Wu and Pourahmadi(2003)]{WP03}
Wei~Biao Wu and Mohsen Pourahmadi.
\newblock Nonparametric estimation of large covariance matrices of longitudinal
  data.
\newblock \emph{Biometrika}, 90:\penalty0 831--844, 2003.

\bibitem[Yuan and Lin(2007)]{YL07}
M.~Yuan and Y.~Lin.
\newblock Model selection and estimation in the gaussian graphical model.
\newblock \emph{Biometrika}, 94:\penalty0 19--35, 2007.

\bibitem[Zhao and Yu(2006)]{ZhaoYu06}
Peng Zhao and Bin Yu.
\newblock On model selection consistency of {L}asso.
\newblock \emph{Journal of Machine Learning Research}, 7:\penalty0 2541--2563,
  2006.

\bibitem[Zhou et~al.(2008)Zhou, Lafferty, and Wasserman]{ZLW08}
S.~Zhou, J.~Lafferty, and L.~Wasserman.
\newblock Time varying undirected graphs.
\newblock In \emph{Proceedings of the 21st Annual Conference on Computational
  Learning Theory (COLT'08)}, July 2008.

\bibitem[Zhou(2009)]{Zhou09th}
Shuheng Zhou.
\newblock Thresholding procedures for high dimensional variable selection and
  statistical estimation.
\newblock In \emph{Advances in Neural Information Processing Systems 22}. MIT
  Press, 2009.

\bibitem[Zhou(2010{\natexlab{a}})]{Zhou10}
Shuheng Zhou.
\newblock Thresholded {L}asso for high dimensional variable selection and
  statistical estimation.
\newblock arXiv:1002.1583v2, also available as University of Michigan,
  Department of Statistics Technical Report 511, 2010{\natexlab{a}}.

\bibitem[Zhou(2010{\natexlab{b}})]{Zhou10sub}
Shuheng Zhou.
\newblock Restricted eigenvalue conditions on subgaussian random matrices,
  2010{\natexlab{b}}.
\newblock Manuscript, earlier version in arXiv:0904.4723v2.

\bibitem[Zhou et~al.(2009)Zhou, van~de Geer, and B\"{u}hlmann]{ZGB09}
Shuheng Zhou, Sara van~de Geer, and Peter B\"{u}hlmann.
\newblock Adaptive {L}asso for high dimensional regression and gaussian
  graphical modeling, 2009.
\newblock arXiv:0903.2515.

\bibitem[Zou(2006)]{Zou06}
Hui Zou.
\newblock The adaptive {L}asso and its oracle properties.
\newblock \emph{Journal of the American Statistical Association}, 101:\penalty0
  1418--1429, 2006.

\bibitem[Zou and Li(2008)]{ZouLi08}
Hui Zou and Runze Li.
\newblock One-step sparse estimates in nonconcave penalized likelihood models.
\newblock \emph{The Annals of Statistics}, 36:\penalty0 1509--1533, 2008.

\end{thebibliography}
