Sparsistency and rates of convergence in large covariance matrix estimation
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Publication:1043730
DOI10.1214/09-AOS720zbMATH Open1191.62101arXiv0711.3933OpenAlexW3098880893WikidataQ41322631 ScholiaQ41322631MaRDI QIDQ1043730FDOQ1043730
Authors: Clifford Lam, Jianqing Fan 
Publication date: 9 December 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all parameters that are zero are actually estimated as zero with probability tending to one. Depending on the case of applications, sparsity priori may occur on the covariance matrix, its inverse or its Cholesky decomposition. We study these three sparsity exploration problems under a unified framework with a general penalty function. We show that the rates of convergence for these problems under the Frobenius norm are of order , where is the number of nonzero elements, is the size of the covariance matrix and is the sample size. This explicitly spells out the contribution of high-dimensionality is merely of a logarithmic factor. The conditions on the rate with which the tuning parameter goes to 0 have been made explicit and compared under different penalties. As a result, for the -penalty, to guarantee the sparsistency and optimal rate of convergence, the number of nonzero elements should be small: at most, among parameters, for estimating sparse covariance or correlation matrix, sparse precision or inverse correlation matrix or sparse Cholesky factor, where is the number of the nonzero elements on the off-diagonal entries. On the other hand, using the SCAD or hard-thresholding penalty functions, there is no such a restriction.
Full work available at URL: https://arxiv.org/abs/0711.3933
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asymptotic normalityconsistencycovariance matrixhigh-dimensionalitynonconcave penalized likelihoodsparsistency
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