Joint estimation of precision matrices in heterogeneous populations

DOI10.1214/16-EJS1137zbMATH Open1341.62130arXiv1601.00142WikidataQ38803110 ScholiaQ38803110MaRDI QIDQ302425FDOQ302425

Takumi Saegusa, Ali Shojaie

Publication date: 5 July 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We introduce a general framework for estimation of inverse covariance, or precision, matrices from heterogeneous populations. The proposed framework uses a Laplacian shrinkage penalty to encourage similarity among estimates from disparate, but related, subpopulations, while allowing for differences among matrices. We propose an efficient alternating direction method of multipliers (ADMM) algorithm for parameter estimation, as well as its extension for faster computation in high dimensions by thresholding the empirical covariance matrix to identify the joint block diagonal structure in the estimated precision matrices. We establish both variable selection and norm consistency of the proposed estimator for distributions with exponential or polynomial tails. Further, to extend the applicability of the method to the settings with unknown populations structure, we propose a Laplacian penalty based on hierarchical clustering, and discuss conditions under which this data-driven choice results in consistent estimation of precision matrices in heterogenous populations. Extensive numerical studies and applications to gene expression data from subtypes of cancer with distinct clinical outcomes indicate the potential advantages of the proposed method over existing approaches.

Full work available at URL: https://arxiv.org/abs/1601.00142

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zbMATH Keywords

sparsityprecision matrixhierarchical clusteringhigh-dimensional estimationgraph Laplaciangraphical modelingheterogeneous populations

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (22)

• Testing the differential network between two gaussian graphical models with false discovery rate control
• Joint Gaussian graphical model estimation: a survey
• Compressed spectral screening for large-scale differential correlation analysis with application in selecting glioblastoma gene modules
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• Covariate-adjusted inference for differential analysis of high-dimensional networks
• Bayesian graphical models for modern biological applications
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Fitting Laplacian regularized stratified Gaussian models
• Bayesian Edge Regression in Undirected Graphical Models to Characterize Interpatient Heterogeneity in Cancer
• Detecting clusters in multivariate response regression
• The cluster D-trace loss for differential network analysis
• A Bayesian Subset Specific Approach to Joint Selection of Multiple Graphical Models
• Joint learning of multiple Granger causal networks via non-convex regularizations: inference of group-level brain connectivity
• Simultaneous Clustering and Estimation of Heterogeneous Graphical Models
• On regularized estimation methods for precision and covariance matrix and statistical network inference
• Bayesian modeling of multiple structural connectivity networks during the progression of Alzheimer's disease
• Estimating Multiple Precision Matrices With Cluster Fusion Regularization
• Network differential connectivity analysis
• Estimating heterogeneous gene regulatory networks from zero-inflated single-cell expression data
• Direct covariance matrix estimation with compositional data
• Structured learning of time-varying networks with application to PM_2.5 data

Uses Software

• glasso

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