Sparse estimation of large covariance matrices via a nested Lasso penalty
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Publication:2482977
DOI10.1214/07-AOAS139zbMATH Open1137.62338arXiv0803.3872OpenAlexW3103917751MaRDI QIDQ2482977FDOQ2482977
Authors: Elizaveta Levina, Ji Zhu, Adam J. Rothman 
Publication date: 30 April 2008
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Abstract: The paper proposes a new covariance estimator for large covariance matrices when the variables have a natural ordering. Using the Cholesky decomposition of the inverse, we impose a banded structure on the Cholesky factor, and select the bandwidth adaptively for each row of the Cholesky factor, using a novel penalty we call nested Lasso. This structure has more flexibility than regular banding, but, unlike regular Lasso applied to the entries of the Cholesky factor, results in a sparse estimator for the inverse of the covariance matrix. An iterative algorithm for solving the optimization problem is developed. The estimator is compared to a number of other covariance estimators and is shown to do best, both in simulations and on a real data example. Simulations show that the margin by which the estimator outperforms its competitors tends to increase with dimension.
Full work available at URL: https://arxiv.org/abs/0803.3872
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Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Theory of matrix inversion and generalized inverses (15A09)
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