Learning local dependence in ordered data
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Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Probabilistic graphical models (62H22) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Ridge regression; shrinkage estimators (Lasso) (62J07) Learning and adaptive systems in artificial intelligence (68T05)
Abstract: In many applications, data come with a natural ordering. This ordering can often induce local dependence among nearby variables. However, in complex data, the width of this dependence may vary, making simple assumptions such as a constant neighborhood size unrealistic. We propose a framework for learning this local dependence based on estimating the inverse of the Cholesky factor of the covariance matrix. Penalized maximum likelihood estimation of this matrix yields a simple regression interpretation for local dependence in which variables are predicted by their neighbors. Our proposed method involves solving a convex, penalized Gaussian likelihood problem with a hierarchical group lasso penalty. The problem decomposes into independent subproblems which can be solved efficiently in parallel using first-order methods. Our method yields a sparse, symmetric, positive definite estimator of the precision matrix, encoding a Gaussian graphical model. We derive theoretical results not found in existing methods attaining this structure. In particular, our conditions for signed support recovery and estimation consistency rates in multiple norms are as mild as those in a regression problem. Empirical results show our method performing favorably compared to existing methods. We apply our method to genomic data to flexibly model linkage disequilibrium. Our method is also applied to improve the performance of discriminant analysis in sound recording classification.
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- Minimax posterior convergence rates and model selection consistency in high-dimensional DAG models based on sparse Cholesky factors
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- A review of Gaussian Markov models for conditional independence
- Limited memory BFGS method for least squares semidefinite programming with banded structure
- High dimensional forecasting via interpretable vector autoregression
- Joint Bayesian Variable and DAG Selection Consistency for High-dimensional Regression Models with Network-structured Covariates
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- On the non-local priors for sparsity selection in high-dimensional Gaussian DAG models
- Estimation of banded time-varying precision matrix based on SCAD and group Lasso
- Scalable Bayesian high-dimensional local dependence learning
- High-dimensional covariance estimation for Gaussian directed acyclic graph models with given order
- A Bayesian approach for learning Bayesian network structures
- The joint local dependence Cholesky prior for bandwidth selection across multiple groups
- Multi-Task Learning for Gaussian Graphical Regressions with High Dimensional Covariates
- Estimation of the error structure in multivariate response linear regression models
- On block Cholesky decomposition for sparse inverse covariance estimation
- Heterogeneous analysis of longitudinal profiles using adaptive banded precision matrices via penalized fusion
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