Minimax estimation of large precision matrices with bandable Cholesky factor

DOI10.1214/19-AOS1893zbMATH Open1458.62114arXiv1712.09483MaRDI QIDQ2215744FDOQ2215744

Zhao Ren, Yu Liu

Publication date: 14 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Last decade witnesses significant methodological and theoretical advances in estimating large precision matrices. In particular, there are scientific applications such as longitudinal data, meteorology and spectroscopy in which the ordering of the variables can be interpreted through a bandable structure on the Cholesky factor of the precision matrix. However, the minimax theory has still been largely unknown, as opposed to the well established minimax results over the corresponding bandable covariance matrices. In this paper, we focus on two commonly used types of parameter spaces, and develop the optimal rates of convergence under both the operator norm and the Frobenius norm. A striking phenomenon is found: two types of parameter spaces are fundamentally different under the operator norm but enjoy the same rate optimality under the Frobenius norm, which is in sharp contrast to the equivalence of corresponding two types of bandable covariance matrices under both norms. This fundamental difference is established by carefully constructing the corresponding minimax lower bounds. Two new estimation procedures are developed: for the operator norm, our optimal procedure is based on a novel local cropping estimator targeting on all principle submatrices of the precision matrix while for the Frobenius norm, our optimal procedure relies on a delicate regression-based thresholding rule. Lepski's method is considered to achieve optimal adaptation. We further establish rate optimality in the nonparanormal model. Numerical studies are carried out to confirm our theoretical findings.

Full work available at URL: https://arxiv.org/abs/1712.09483

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zbMATH Keywords

precision matrixthresholdingadaptive estimationminimax lower boundoptimal rate of convergenceoperator normFrobenius normCholesky factorlocal cropping

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

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Cited In (5)

• A new approach for ultrahigh dimensional precision matrix estimation
• A generative approach to modeling data with quantitative and qualitative responses
• Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
• User-friendly covariance estimation for heavy-tailed distributions
• Scalable Bayesian high-dimensional local dependence learning

Uses Software

• ROCKET

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