 Paired group Lasso for Gaussian graph estimation

Joint squared-error nodewise regression with this penalty groups the two coefficients of each unordered edge. Its norm is nonsmooth only when the whole pair is zero, encouraging edge-wise sparsity. A fitted edge is present when its pair norm is positive. The penalty does not require equal directional coefficients, two nonzero entries in every selected group, or a symmetric positive definite precision matrix.