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)
- 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
- Maximum-type tests for high-dimensional regression coefficients using Wilcoxon scores
- Globally adaptive quantile regression with ultra-high dimensional data
- 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
- 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
- Sequential Lasso Cum EBIC for Feature Selection With Ultra-High Dimensional Feature Space
- 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
- An efficient method for identifying statistical interactors in gene association networks
- 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?)
- Topological techniques in model selection
- Bayesian hypothesis testing for Gaussian graphical models: conditional independence and order constraints
- The performance of covariance selection methods that consider decomposable models only
- Alternating Direction Methods for Latent Variable Gaussian Graphical Model Selection
- A greedy feature selection algorithm for big data of high dimensionality
- Learning Gaussian graphical models with fractional marginal pseudo-likelihood
- Bayesian analysis of nonparanormal graphical models using rank-likelihood
- A loss‐based prior for Gaussian graphical models
- Interpreting latent variables in factor models via convex optimization
- On path restoration for censored outcomes
- Laplace Error Penalty-based Variable Selection in High Dimension
- Estimating time-varying networks
- Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
- Some sharp performance bounds for least squares regression with \(L_1\) regularization
- Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis
- Covariance estimation: the GLM and regularization perspectives
- Learning high-dimensional directed acyclic graphs with latent and selection variables
- UPS delivers optimal phase diagram in high-dimensional variable selection
- Flexible covariance estimation in graphical Gaussian models
- Covariate assisted screening and estimation
- Statistics for big data: a perspective
- Consistent high-dimensional Bayesian variable selection via penalized credible regions
- Likelihood-based selection and sharp parameter estimation
- High-dimensional inference for personalized treatment decision
- Discussion: Latent variable graphical model selection via convex optimization
- Bootstrap inference for network construction with an application to a breast cancer microarray study
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- Robust regression through the Huber's criterion and adaptive lasso penalty
- Optimal detection of heterogeneous and heteroscedastic mixtures
- Robust Gaussian graphical modeling via \(l_{1}\) penalization
- Stable graphical model estimation with random forests for discrete, continuous, and mixed variables
- Fitting very large sparse Gaussian graphical models
- Rejoinder: Latent variable graphical model selection via convex optimization
- Estimation of Gaussian graphs by model selection
- The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
- Time varying undirected graphs
- Graphical-model based high dimensional generalized linear models
- High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking
- Discussion: Latent variable graphical model selection via convex optimization
- High-dimensional joint estimation of multiple directed Gaussian graphical models
- A two-step method for estimating high-dimensional Gaussian graphical models
- Gemini: graph estimation with matrix variate normal instances
- High-dimensional variable screening and bias in subsequent inference, with an empirical comparison
- Structure estimation for discrete graphical models: generalized covariance matrices and their inverses
- Bayesian variable selection for high dimensional generalized linear models: convergence rates of the fitted densities
- Regularization and variable selection in Heckman selection model
- High-dimensional Ising model selection with Bayesian information criteria
- Variable selection in model-based clustering and discriminant analysis with a regularization approach
- Covariance and precision matrix estimation for high-dimensional time series
- Penalized estimation in high-dimensional hidden Markov models with state-specific graphical models
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)
