Fast and adaptive sparse precision matrix estimation in high dimensions
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Publication:2256755
DOI10.1016/J.JMVA.2014.11.005zbMATH Open1307.62148DBLPjournals/ma/LiuL15arXiv1203.3896OpenAlexW2087760247WikidataQ35140950 ScholiaQ35140950MaRDI QIDQ2256755FDOQ2256755
Authors: Xi Luo, Weidong Liu 
Publication date: 20 February 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1203.3896
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