code: def graph_lasso(X, num_folds):
      
      print("GraphLasso (sklearn)")
      model = GraphLassoCV(cv=num_folds)
      model.fit(X)
      print("   lam_: {}".format(model.alpha_))
      return model.covariance_, model.precision_, model.alpha_
docs: Estimate inverse covariance via scikit-learn GraphLassoCV class.