Joint estimation of sparse multivariate regression and conditional graphical models

DOI10.5705/SS.2013.192MaRDI QIDQ2950192zbMATH OpenOpenAlexFDO

Authors Junhui Wang

Publication date 8 October 2015

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.4410

zbMATH Keywords

Gaussian graphical modelmultivariate regressionregularizationcovariance selectionlarge \(p\) small \(n\)

Mathematics Subject Classification ID

Multivariate analysis (62H99) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: Multivariate regression model is a natural generalization of the classical univari- ate regression model for fitting multiple responses. In this paper, we propose a high- dimensional multivariate conditional regression model for constructing sparse estimates of the multivariate regression coefficient matrix that accounts for the dependency struc- ture among the multiple responses. The proposed method decomposes the multivariate regression problem into a series of penalized conditional log-likelihood of each response conditioned on the covariates and other responses. It allows simultaneous estimation of the sparse regression coefficient matrix and the sparse inverse covariance matrix. The asymptotic selection consistency and normality are established for the diverging dimension of the covariates and number of responses. The effectiveness of the pro- posed method is also demonstrated in a variety of simulated examples as well as an application to the Glioblastoma multiforme cancer data.

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• Graphical models via joint quantile regression with component selection
• Multivariate regression with measurement error: bias analysis and estimation
• Estimation of the error structure in multivariate response linear regression models
• Variable selection in high-dimensional sparse multiresponse linear regression models
• Sparse conditional copula models for structured output regression
• A covariance-enhanced approach to multitissue joint eQTL mapping with application to transcriptome-wide association studies
• A unified framework for structured graph learning via spectral constraints

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