Gemini: graph estimation with matrix variate normal instances
From MaRDI portal
Publication:2249840
DOI10.1214/13-AOS1187zbMATH Open1301.62054arXiv1209.5075MaRDI QIDQ2249840FDOQ2249840
Authors: Shuheng Zhou 
Publication date: 3 July 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1209.5075
Recommendations
covariance estimationgraphical model selectiongraphical lassoinverse covariance estimationmatrix variate normal distribution
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09) Parametric inference under constraints (62F30)
Cites Work
- The mle algorithm for the matrix normal distribution
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- One-step sparse estimates in nonconcave penalized likelihood models
- High-dimensional graphs and variable selection with the Lasso
- Sparsistency and rates of convergence in large covariance matrix estimation
- Sparse inverse covariance estimation with the graphical lasso
- Sparse permutation invariant covariance estimation
- Network exploration via the adaptive LASSO and SCAD penalties
- Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
- Model selection and estimation in the Gaussian graphical model
- Partial correlation estimation by joint sparse regression models
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- High dimensional inverse covariance matrix estimation via linear programming
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- Some matrix-variate distribution theory: Notational considerations and a Bayesian application
- Time varying undirected graphs
- The likelihood ratio test for a separable covariance matrix
- On Estimation of Covariance Matrices With Kronecker Product Structure
- High-dimensional covariance estimation based on Gaussian graphical models
- Sparse Matrix Graphical Models
- Transposable regularized covariance models with an application to missing data imputation
- The Kronecker Product of Graphs
- Model selection and estimation in the matrix normal graphical model
- On Convergence of Kronecker Graphical Lasso Algorithms
- Are a set of microarrays independent of each other?
- Characterization of matrix variate normal distributions
Cited In (32)
- Simultaneous Cluster Structure Learning and Estimation of Heterogeneous Graphs for Matrix-Variate fMRI Data
- Joint Mean and Covariance Estimation with Unreplicated Matrix-Variate Data
- Factor models for matrix-valued high-dimensional time series
- Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis
- Scalable Bayesian matrix normal graphical models for brain functional networks
- ISLET: fast and optimal low-rank tensor regression via importance sketching
- Sparse directed acyclic graphs incorporating the covariates
- Covariate-adjusted tensor classification in high dimensions
- Covariance estimation via sparse Kronecker structures
- Testing independence with high-dimensional correlated samples
- Structure estimation for discrete graphical models: generalized covariance matrices and their inverses
- A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity
- Kronecker-structured covariance models for multiway data
- Prioritizing Autism Risk Genes Using Personalized Graphical Models Estimated From Single-Cell RNA-seq Data
- Concentration of measure bounds for matrix-variate data with missing values
- Estimation of graphical models: an overview of selected topics
- Differential network knockoff filter with application to brain connectivity analysis
- Title not available (Why is that?)
- Intrinsic graph structure estimation using graph Laplacian
- Learning binary undirected graph in low dimensional regime
- Graph estimation for matrix-variate Gaussian data
- Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
- Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data
- Correlation-driven framework based on graph convolutional network for clinical disease classification
- Fast and Separable Estimation in High-Dimensional Tensor Gaussian Graphical Models
- Alteration detection of tensor dependence structure via sparsity-exploited reranking algorithm
- Existence and uniqueness of the Kronecker covariance MLE
- Graphical model selection and estimation for high dimensional tensor data
- Sparse Hanson-Wright inequalities for subgaussian quadratic forms
- Hypothesis testing for the covariance matrix in high-dimensional transposable data with Kronecker product dependence structure
- A Penalized Likelihood Method for Classification With Matrix-Valued Predictors
- Brain connectivity alteration detection via matrix‐variate differential network model
Uses Software
This page was built for publication: Gemini: graph estimation with matrix variate normal instances
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2249840)
