High-dimensional graphs and variable selection with the Lasso
From MaRDI portal
Publication:2500458
DOI10.1214/009053606000000281zbMATH Open1113.62082arXivmath/0608017OpenAlexW3098834468WikidataQ105584248 ScholiaQ105584248MaRDI QIDQ2500458FDOQ2500458
Authors: Nicolai Meinshausen, Peter Bühlmann 
Publication date: 24 August 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from data. We show that neighborhood selection with the Lasso is a computationally attractive alternative to standard covariance selection for sparse high-dimensional graphs. Neighborhood selection estimates the conditional independence restrictions separately for each node in the graph and is hence equivalent to variable selection for Gaussian linear models. We show that the proposed neighborhood selection scheme is consistent for sparse high-dimensional graphs. Consistency hinges on the choice of the penalty parameter. The oracle value for optimal prediction does not lead to a consistent neighborhood estimate. Controlling instead the probability of falsely joining some distinct connectivity components of the graph, consistent estimation for sparse graphs is achieved (with exponential rates), even when the number of variables grows as the number of observations raised to an arbitrary power.
Full work available at URL: https://arxiv.org/abs/math/0608017
Recommendations
- Sparse inverse covariance estimation with the graphical lasso
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- Sparse covariance thresholding for high-dimensional variable selection
- A note on the Lasso for Gaussian graphical model selection
- Efficient estimation of covariance selection models
Asymptotic properties of parametric estimators (62F12) Multivariate analysis (62H99) Linear regression; mixed models (62J05) Applications of graph theory (05C90) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)
Cites Work
- Introduction to Graphical Modelling
- Least angle regression. (With discussion)
- Weak convergence and empirical processes. With applications to statistics
- Title not available (Why is that?)
- Persistene in high-dimensional linear predictor-selection and the virtue of overparametrization
- Asymptotics for Lasso-type estimators.
- Title not available (Why is that?)
- Linear Model Selection by Cross-Validation
- A Statistical View of Some Chemometrics Regression Tools
- Gaussian Markov distributions over finite graphs
- Functional aggregation for nonparametric regression.
- Model selection for Gaussian concentration graphs
- Atomic decomposition by basis pursuit
- Dependency networks for inference, collaborative filtering, and data visualization
- Title not available (Why is that?)
Cited In (only showing first 100 items - show all)
- Probabilistic graphical models and Markov networks
- Adjusting for high-dimensional covariates in sparse precision matrix estimation by \(\ell_1\)-penalization
- Spatio-temporal random fields: compressible representation and distributed estimation
- Parametric or nonparametric? A parametricness index for model selection
- High-dimensional Gaussian graphical model selection: walk summability and local separation criterion
- Causal statistical inference in high dimensions
- Classifier variability: accounting for training and testing
- Multi-stage convex relaxation for feature selection
- Non-asymptotic oracle inequalities for the Lasso and group Lasso in high dimensional logistic model
- Profiled adaptive elastic-net procedure for partially linear models with high-dimensional covar\-i\-ates
- Goodness-of-fit tests for high-dimensional Gaussian linear models
- Sharp support recovery from noisy random measurements by \(\ell_1\)-minimization
- Coordinate ascent for penalized semiparametric regression on high-dimensional panel count data
- A note on the asymptotic distribution of lasso estimator for correlated data
- Semiparametric regression models with additive nonparametric components and high dimensional parametric components
- Sparse regression learning by aggregation and Langevin Monte-Carlo
- Estimation and variable selection with exponential weights
- Quadratic approximation on SCAD penalized estimation
- Mirror averaging with sparsity priors
- Sparse estimation of high-dimensional inverse covariance matrices with explicit eigenvalue constraints
- Sparse inverse kernel Gaussian Process regression
- Transductive versions of the Lasso and the Dantzig selector
- Fast and adaptive sparse precision matrix estimation in high dimensions
- Variable selection, monotone likelihood ratio and group sparsity
- Generalization of constraints for high dimensional regression problems
- Focused vector information criterion model selection and model averaging regression with missing response
- Rapid penalized likelihood-based outlier detection via heteroskedasticity test
- Bayesian high-dimensional screening via MCMC
- Estimation of high-dimensional partially-observed discrete Markov random fields
- Sparse covariance thresholding for high-dimensional variable selection
- A joint convex penalty for inverse covariance matrix estimation
- CAM: causal additive models, high-dimensional order search and penalized regression
- Bayesian sparse graphical models for classification with application to protein expression data
- High-dimensional Bayesian inference in nonparametric additive models
- An overview of recent developments in genomics and associated statistical methods
- High dimensional change point inference: recent developments and extensions
- Fast global convergence of gradient methods for high-dimensional statistical recovery
- Learning loopy graphical models with latent variables: efficient methods and guarantees
- General nonexact oracle inequalities for classes with a subexponential envelope
- Multivariate Bernoulli distribution
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- Recovering networks from distance data
- Penalized profiled semiparametric estimating functions
- Nonconcave penalized composite conditional likelihood estimation of sparse Ising models
- Sparsity in penalized empirical risk minimization
- High-Dimensional Sparse Additive Hazards Regression
- Exact covariance thresholding into connected components for large-scale graphical lasso
- Dynamic networks with multi-scale temporal structure
- Estimating spatial covariance using penalised likelihood with weightedL1penalty
- Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
- A shrinkage principle for heavy-tailed data: high-dimensional robust low-rank matrix recovery
- Fitting sparse linear models under the sufficient and necessary condition for model identification
- Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications
- Recovery of partly sparse and dense signals
- Shrinkage tuning parameter selection in precision matrices estimation
- Sparse regression: scalable algorithms and empirical performance
- The smooth-Lasso and other \(\ell _{1}+\ell _{2}\)-penalized methods
- Block-diagonal precision matrix regularization for ultra-high dimensional data
- Data science, big data and statistics
- Model selection and local geometry
- Sorted concave penalized regression
- Learning semidefinite regularizers
- Treelets -- an adaptive multi-scale basis for sparse unordered data
- Gaussian and bootstrap approximations for high-dimensional U-statistics and their applications
- Regularization and the small-ball method. I: Sparse recovery
- Generalized Kalman smoothing: modeling and algorithms
- Discussion: Latent variable graphical model selection via convex optimization
- Necessary and sufficient conditions for variable selection consistency of the Lasso in high dimensions
- Bayesian graphical models for modern biological applications
- Robust machine learning by median-of-means: theory and practice
- Quasi-Bayesian estimation of large Gaussian graphical models
- Estimation of positive definite \(M\)-matrices and structure learning for attractive Gaussian Markov random fields
- Structural learning for Bayesian networks by testing complete separators in prime blocks
- Leave-one-out cross-validation is risk consistent for Lasso
- The Dantzig selector: recovery of signal via ℓ 1 − αℓ 2 minimization
- Estimating finite mixtures of ordinal graphical models
- A sequential scaled pairwise selection approach to edge detection in nonparanormal graphical models
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Covariance structure approximation via gLasso in high-dimensional supervised classification
- Sparse high-dimensional linear regression. Estimating squared error and a phase transition
- Estimating heterogeneous graphical models for discrete data with an application to roll call voting
- Learning relational dependency networks in hybrid domains
- Poisson dependency networks: gradient boosted models for multivariate count data
- High-dimensional rank-based graphical models for non-Gaussian functional data
- Inference for Nonparanormal Partial Correlation via Regularized Rank-Based Nodewise Regression
- High-dimensional Gaussian model selection on a Gaussian design
- High dimensional posterior convergence rates for decomposable graphical models
- Edge detection in sparse Gaussian graphical models
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Discussion: One-step sparse estimates in nonconcave penalized likelihood models
- Laplace error penalty-based variable selection in high dimension
- An efficient method for identifying statistical interactors in gene association networks
- Operator-valued kernel-based vector autoregressive models for network inference
- Copula Gaussian Graphical Models for Functional Data
- Nonparametric and high-dimensional functional graphical models
- On nonparametric feature filters in electromagnetic imaging
- Individual-specific, sparse inverse covariance estimation in generalized estimating equations
- Robust estimation of sparse precision matrix using adaptive weighted graphical lasso approach
- Accelerating a Gibbs sampler for variable selection on genomics data with summarization and variable pre-selection combining an array DBMS and R
- Title not available (Why is that?)
Uses Software
This page was built for publication: High-dimensional graphs and variable selection with the Lasso
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2500458)
