Network exploration via the adaptive LASSO and SCAD penalties
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Publication:2270657
DOI10.1214/08-AOAS215zbMATH Open1166.62040arXiv0908.2053OpenAlexW3103368540WikidataQ41956523 ScholiaQ41956523MaRDI QIDQ2270657FDOQ2270657
Authors: Yang Feng, Yichao Wu, Jianqing Fan 
Publication date: 29 July 2009
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: Graphical models are frequently used to explore networks, such as genetic networks, among a set of variables. This is usually carried out via exploring the sparsity of the precision matrix of the variables under consideration. Penalized likelihood methods are often used in such explorations. Yet, positive-definiteness constraints of precision matrices make the optimization problem challenging. We introduce nonconcave penalties and the adaptive LASSO penalty to attenuate the bias problem in the network estimation. Through the local linear approximation to the nonconcave penalty functions, the problem of precision matrix estimation is recast as a sequence of penalized likelihood problems with a weighted penalty and solved using the efficient algorithm of Friedman et al. [Biostatistics 9 (2008) 432--441]. Our estimation schemes are applied to two real datasets. Simulation experiments and asymptotic theory are used to justify our proposed methods.
Full work available at URL: https://arxiv.org/abs/0908.2053
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SCADcovariance selectionprecision matrixLASSOadaptive LASSOgenetic networkbreast cancer dataGaussian concentration graphical modeltelephone call center data
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