Fast and adaptive sparse precision matrix estimation in high dimensions
From MaRDI portal
Publication:2256755
Abstract: This paper proposes a new method for estimating sparse precision matrices in the high dimensional setting. It has been popular to study fast computation and adaptive procedures for this problem. We propose a novel approach, called Sparse Column-wise Inverse Operator, to address these two issues. We analyze an adaptive procedure based on cross validation, and establish its convergence rate under the Frobenius norm. The convergence rates under other matrix norms are also established. This method also enjoys the advantage of fast computation for large-scale problems, via a coordinate descent algorithm. Numerical merits are illustrated using both simulated and real datasets. In particular, it performs favorably on an HIV brain tissue dataset and an ADHD resting-state fMRI dataset.
Recommendations
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Fast algorithms for sparse inverse covariance estimation
- ADMM algorithmic regularization paths for high-dimensional sparse precision matrix estimation
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- Efficient distributed estimation of high-dimensional sparse precision matrix
Cites work
- scientific article; zbMATH DE number 1134987 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- Adaptive thresholding for sparse covariance matrix estimation
- Covariance regularization by thresholding
- First-Order Methods for Sparse Covariance Selection
- High dimensional inverse covariance matrix estimation via linear programming
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- High-dimensional graphs and variable selection with the Lasso
- Model selection and estimation in the Gaussian graphical model
- Network exploration via the adaptive LASSO and SCAD penalties
- Optimal rates of convergence for covariance matrix estimation
- Random forests
- Sparse inverse covariance estimation with the graphical lasso
- Sparse matrix inversion with scaled Lasso
- Sparse permutation invariant covariance estimation
- Sparsistency and rates of convergence in large covariance matrix estimation
- The nonparanormal: semiparametric estimation of high dimensional undirected graphs
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(38)- Adjusting for high-dimensional covariates in sparse precision matrix estimation by \(\ell_1\)-penalization
- A new approach for ultrahigh dimensional precision matrix estimation
- Penalized interaction estimation for ultrahigh dimensional quadratic regression
- Block-diagonal precision matrix regularization for ultra-high dimensional data
- Layer-wise learning strategy for nonparametric tensor product smoothing spline regression and graphical models
- Generalized Sparse Precision Matrix Selection for Fitting Multivariate Gaussian Random Fields to Large Data Sets
- A scalable sparse Cholesky based approach for learning high-dimensional covariance matrices in ordered data
- Estimating covariance and precision matrices along subspaces
- Simultaneous inference for pairwise graphical models with generalized score matching
- Fast algorithms for sparse inverse covariance estimation
- Causal Structural Learning via Local Graphs
- Efficient estimation of sparse Jacobian matrices by differences
- Generalized score matching for non-negative data
- An efficient ADMM algorithm for high dimensional precision matrix estimation via penalized quadratic loss
- Tuning-free sparse clustering via alternating hard-thresholding
- On estimation of the diagonal elements of a sparse precision matrix
- A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity
- Estimation of covariance and precision matrix, network structure, and a view toward systems biology
- Fast precision estimation in high-dimensional multivariate joint models
- Efficient distributed estimation of high-dimensional sparse precision matrix
- Efficient distributed estimation of high-dimensional sparse precision matrix for transelliptical graphical models
- scientific article; zbMATH DE number 7008333 (Why is no real title available?)
- A locally adaptive shrinkage approach to false selection rate control in high-dimensional classification
- Differentially private precision matrix estimation
- A Greedy Algorithm for Sparse Precision Matrix Approximation
- Robust sparse precision matrix estimation for high-dimensional compositional data
- Precision matrix estimation using penalized generalized Sylvester matrix equation
- Scalable inference for high-dimensional precision matrix
- Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data
- ADMM algorithmic regularization paths for high-dimensional sparse precision matrix estimation
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Adaptive sparse estimation with side information
- Innovated scalable dynamic learning for time-varying graphical models
- Sparse graphical models via calibrated concave convex procedure with application to fMRI data
- scientific article; zbMATH DE number 6378086 (Why is no real title available?)
- Estimation of multiple networks with common structures in heterogeneous subgroups
- Robust and sparse Gaussian graphical modelling under cell-wise contamination
- Sparse precision matrix estimation under lower polynomial moment assumption
This page was built for publication: Fast and adaptive sparse precision matrix estimation in high dimensions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2256755)
