Joint estimation of precision matrices in heterogeneous populations
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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.
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Cited in
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- Joint Gaussian graphical model estimation: a survey
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- Targeted fused ridge estimation of inverse covariance matrices from multiple high-dimensional data classes
- Covariate-adjusted inference for differential analysis of high-dimensional networks
- Common reducing subspace model and network alternation analysis
- Bayesian graphical models for modern biological applications
- Joint estimation of multiple precision matrices with common structures
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Fitting Laplacian regularized stratified Gaussian models
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- The cluster D-trace loss for differential network analysis
- Joint estimation of multiple high-dimensional precision matrices
- A Bayesian Subset Specific Approach to Joint Selection of Multiple Graphical Models
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- On regularized estimation methods for precision and covariance matrix and statistical network inference
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- Estimation of multiple networks in Gaussian mixture models
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- Direct covariance matrix estimation with compositional data
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