Model selection for inferring Gaussian graphical models

In this article, we deal with the model selection problem for estimating a Gaussian Graphical Model (GGM) by regression based techniques. In fact, although regression based techniques are well understood and have good theoretical properties, it is still not clear which criterion is more appropriate for model selection. In this work we do a comparative study between CV and BIC, obtaining important conclusions that can be of practical interest in different contexts of data analysis.