A constrained _1 minimization approach to sparse precision matrix estimation
From MaRDI portal
Publication:3095179
Abstract: A constrained L1 minimization method is proposed for estimating a sparse inverse covariance matrix based on a sample of iid -variate random variables. The resulting estimator is shown to enjoy a number of desirable properties. In particular, it is shown that the rate of convergence between the estimator and the true -sparse precision matrix under the spectral norm is when the population distribution has either exponential-type tails or polynomial-type tails. Convergence rates under the elementwise norm and Frobenius norm are also presented. In addition, graphical model selection is considered. The procedure is easily implementable by linear programming. Numerical performance of the estimator is investigated using both simulated and real data. In particular, the procedure is applied to analyze a breast cancer dataset. The procedure performs favorably in comparison to existing methods.
Recommendations
- An approach to precision matrix estimation based on \(L_1\) norm minimization
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Sparse permutation invariant covariance estimation
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- Sparse inverse covariance estimation with the graphical lasso
Cited in
(only showing first 100 items - show all)- Optimal variable selection in multi-group sparse discriminant analysis
- Adjusting for high-dimensional covariates in sparse precision matrix estimation by _1-penalization
- Prediction in abundant high-dimensional linear regression
- Higher moment estimation for elliptically distributed data: is it necessary to use a sledgehammer to crack an egg?
- Brain connectivity alteration detection via matrix‐variate differential network model
- Maximum-type tests for high-dimensional regression coefficients using Wilcoxon scores
- Adaptive estimation of high-dimensional signal-to-noise ratios
- Wasserstein F-tests for Fréchet regression on Bures-Wasserstein manifolds
- Cooperative differential network learning with hub detection for multicenter neuroimaging data
- Confidence intervals for sparse precision matrix estimation via Lasso penalized D-trace loss
- On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
- The Dantzig discriminant analysis with high dimensional data
- Testing the differential network between two gaussian graphical models with false discovery rate control
- A new approach for ultrahigh dimensional precision matrix estimation
- Simultaneous Cluster Structure Learning and Estimation of Heterogeneous Graphs for Matrix-Variate fMRI Data
- Testing for independence of large dimensional vectors
- Robust estimation of precision matrices under cellwise contamination
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- Spectral clustering via sparse graph structure learning with application to proteomic signaling networks in cancer
- scientific article; zbMATH DE number 7559724 (Why is no real title available?)
- Joint Gaussian graphical model estimation: a survey
- Bayesian Structure Learning in Multilayered Genomic Networks
- Sparse estimation and inference for prediction-powered semi-supervised linear regression
- A focused information criterion for graphical models in fMRI connectivity with high-dimensional data
- High-dimensional semiparametric Gaussian copula graphical models
- Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
- Novel multiplier bootstrap tests for high-dimensional data with applications to MANOVA
- A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions
- Learning high-dimensional Gaussian linear structural equation models with heterogeneous error variances
- Promote sign consistency in the joint estimation of precision matrices
- Bayesian regularization of Gaussian graphical models with measurement error
- Model-free variable selection for conditional mean in regression
- High-dimensional two-sample mean vectors test and support recovery with factor adjustment
- High-dimensional consistency in score-based and hybrid structure learning
- Efficient distributed differential network estimation
- Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis
- Concentration of a sparse Bayesian model with horseshoe prior in estimating high-dimensional precision matrix
- Efficient distributed transfer learning for large-scale Gaussian graphic models
- Bayesian modeling of interaction between features in sparse multivariate count data with application to microbiome study
- Compressed spectral screening for large-scale differential correlation analysis with application in selecting glioblastoma gene modules
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Joint semiparametric kernel network regression
- Data science, big data and statistics
- On Joint Estimation of Gaussian Graphical Models for Spatial and Temporal Data
- Functional Graphical Models
- Are Latent Factor Regression and Sparse Regression Adequate?
- scientific article; zbMATH DE number 7626789 (Why is no real title available?)
- Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study
- Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
- Dependence in elliptical partial correlation graphs
- High-dimensional sparse MANOVA
- Combinatorial inference for graphical models
- Sparse permutation invariant covariance estimation
- Singular Gaussian graphical models: Structure learning
- Block-diagonal precision matrix regularization for ultra-high dimensional data
- Estimating time-varying networks for high-dimensional time series
- Statistical inference for smoothed quantile regression with streaming data
- A unified theory of confidence regions and testing for high-dimensional estimating equations
- Estimating Cell-Type-Specific Gene Co-Expression Networks from Bulk Gene Expression Data with an Application to Alzheimer’s Disease
- Direct shrinkage estimation of large dimensional precision matrix
- Bootstrap based inference for sparse high-dimensional time series models
- ARK: robust knockoffs inference with coupling
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients
- Consistent and scalable Bayesian joint variable and graph selection for disease diagnosis leveraging functional brain network
- Sparse matrix inversion with scaled Lasso
- Scalable network estimation with L₀ penalty
- Weighted covariance matrix estimation
- scientific article; zbMATH DE number 7370643 (Why is no real title available?)
- Likelihood Ratio Tests for Dependent Data with Applications to Longitudinal and Functional Data Analysis
- Low-rank multi-parametric covariance identification
- Optimal designs in sparse linear models
- On the probability of (falsely) connecting two distinct components when learning a GGM
- Sparse directed acyclic graphs incorporating the covariates
- Layer-wise learning strategy for nonparametric tensor product smoothing spline regression and graphical models
- Robust sparse Gaussian graphical modeling
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- Time-varying minimum variance portfolio
- Bayesian adaptive Lasso estimation of large graphical model based on modified Cholesky decomposition
- Estimation of a sparse and spiked covariance matrix
- Inference for high-dimensional instrumental variables regression
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Gaussian and bootstrap approximations for high-dimensional U-statistics and their applications
- High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
- Tuning-free heterogeneous inference in massive networks
- The effect of \(L_1\) penalization on condition number constrained estimation of precision matrix
- The cluster graphical Lasso for improved estimation of Gaussian graphical models
- Robust Gaussian graphical modeling via \(l_{1}\) penalization
- Structure learning of exponential family graphical model with false discovery rate control
- Estimating Time-Varying Graphical Models
- Estimating large covariance matrix with network topology for high-dimensional biomedical data
- Conditional Functional Graphical Models
- A scalable sparse Cholesky based approach for learning high-dimensional covariance matrices in ordered data
- Rate optimal estimation and confidence intervals for high-dimensional regression with missing covariates
- Adaptive test for mean vectors of high-dimensional time series data with factor structure
- Adaptive estimation in structured factor models with applications to overlapping clustering
- Estimating covariance and precision matrices along subspaces
- Variable selection for generalized linear model with highly correlated covariates
- CARE: Large Precision Matrix Estimation for Compositional Data
- Simultaneous inference for pairwise graphical models with generalized score matching
This page was built for publication: A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3095179)
