Gemini: graph estimation with matrix variate normal instances
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Publication:2249840
Abstract: Undirected graphs can be used to describe matrix variate distributions. In this paper, we develop new methods for estimating the graphical structures and underlying parameters, namely, the row and column covariance and inverse covariance matrices from the matrix variate data. Under sparsity conditions, we show that one is able to recover the graphs and covariance matrices with a single random matrix from the matrix variate normal distribution. Our method extends, with suitable adaptation, to the general setting where replicates are available. We establish consistency and obtain the rates of convergence in the operator and the Frobenius norm. We show that having replicates will allow one to estimate more complicated graphical structures and achieve faster rates of convergence. We provide simulation evidence showing that we can recover graphical structures as well as estimating the precision matrices, as predicted by theory.
The paper under review presents a theoretical framework for estimating the row and column covariance and inverse covariance matrices using only one matrix from matrix-variate normal distribution. The author establishes consistency and rates of convergence in the operator and the Frobenius norm of the covariance matrices and their inverses, proves large deviation results for the sample correlation estimators (proposed for estimating both the row an column correlation and covariance matrices given a single matrix or multiple replicates of the matrix-normal data), and provides conditions that guarantee simultaneous estimation of the graphs for both rows and columns. Provided simulation evidence and a real data example show that the methodology allows to recover graphical structures and also to estimate the precision matrices effectively.
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