Non-asymptotic error controlled sparse high dimensional precision matrix estimation
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Nonparametric estimation (62G05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Protein sequences, DNA sequences (92D20) Random matrices (probabilistic aspects) (60B20) Paired and multiple comparisons; multiple testing (62J15)
Abstract: Estimation of a high dimensional precision matrix is a critical problem to many areas of statistics including Gaussian graphical models and inference on high dimensional data. Working under the structural assumption of sparsity, we propose a novel methodology for estimating such matrices while controlling the false positive rate, percentage of matrix entries incorrectly chosen to be non-zero. We specifically focus on false positive rates tending towards zero with finite sample guarantees. This methodology is distribution free, but is particularly applicable to the problem of Gaussian network recovery. We also consider applications to constructing gene networks in genomics data.
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Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 6122810 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
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Cited in
(10)- Efficient distributed estimation of high-dimensional sparse precision matrix for transelliptical graphical models
- Adjusting for high-dimensional covariates in sparse precision matrix estimation by \(\ell_1\)-penalization
- Gaussian graphical model estimation with false discovery rate control
- Honest confidence regions and optimality in high-dimensional precision matrix estimation
- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Robust precision matrix estimation via weighted median regression with regularization
- Block-diagonal precision matrix regularization for ultra-high dimensional data
- sparseMatEst
- Support recovery of Gaussian graphical model with false discovery rate control
- Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
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