Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
From MaRDI portal
Publication:4690959
DOI10.1080/01621459.2016.1247002zbMATH Open1398.62020arXiv1511.04033OpenAlexW2963129728MaRDI QIDQ4690959FDOQ4690959
Emilie Devijver, Mélina Gallopin
Publication date: 23 October 2018
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: Gaussian graphical models are widely utilized to infer and visualize networks of dependencies between continuous variables. However, inferring the graph is difficult when the sample size is small compared to the number of variables. To reduce the number of parameters to estimate in the model, we propose a non-asymptotic model selection procedure supported by strong theoretical guarantees based on an oracle inequality and a minimax lower bound. The covariance matrix of the model is approximated by a block-diagonal matrix. The structure of this matrix is detected by thresholding the sample covariance matrix, where the threshold is selected using the slope heuristic. Based on the block-diagonal structure of the covariance matrix, the estimation problem is divided into several independent problems: subsequently, the network of dependencies between variables is inferred using the graphical lasso algorithm in each block. The performance of the procedure is illustrated on simulated data. An application to a real gene expression dataset with a limited sample size is also presented: the dimension reduction allows attention to be objectively focused on interactions among smaller subsets of genes, leading to a more parsimonious and interpretable modular network.
Full work available at URL: https://arxiv.org/abs/1511.04033
Recommendations
- Assessment of Covariance Selection Methods in High-Dimensional Gaussian Graphical Models
- High-dimensional covariance estimation based on Gaussian graphical models
- High-Dimensional Gaussian Graphical Regression Models with Covariates
- Testing block‐diagonal covariance structure for high‐dimensional data
- Flexible covariance estimation in graphical Gaussian models
- Covariance Estimation in Decomposable Gaussian Graphical Models
- Bayesian block-diagonal variable selection and model averaging
- Covariance decomposition in undirected Gaussian graphical models
- Block-diagonal test for high-dimensional covariance matrices
- On a model selection problem from high-dimensional sample covariance matrices
variable selectionnetwork inferencegraphical lassoadaptive minimax theorynonasymptotic model selection
Multivariate analysis (62H99) Applications of statistics to biology and medical sciences; meta analysis (62P10) Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09) Minimax procedures in statistical decision theory (62C20)
Cites Work
- Graph selection with GGMselect
- The discriminative functional mixture model for a comparative analysis of bike sharing systems
- The huge Package for High-dimensional Undirected Graph Estimation in R
- Slope heuristics: overview and implementation
- Computation of multivariate normal and \(t\) probabilities
- Inferring sparse Gaussian graphical models with latent structure
- High-dimensional graphs and variable selection with the Lasso
- Gaussian model selection with an unknown variance
- Detecting multiple change-points in the mean of Gaussian process by model selection
- Sparse inverse covariance estimation with the graphical lasso
- Regularized estimation of large covariance matrices
- Title not available (Why is that?)
- Title not available (Why is that?)
- Model selection and estimation in the Gaussian graphical model
- Gaussian model selection
- A sparse conditional Gaussian graphical model for analysis of genetical genomics data
- Joint estimation of multiple graphical models
- The Joint Graphical Lasso for Inverse Covariance Estimation Across Multiple Classes
- Estimation of Gaussian graphs by model selection
- Minimal penalties for Gaussian model selection
- Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
- Optimal rates of convergence for covariance matrix estimation
- Minimax risks for sparse regressions: ultra-high dimensional phenomenons
- A non asymptotic penalized criterion for Gaussian mixture model selection
- Rates of convergence for the Gaussian mixture sieve.
- Title not available (Why is that?)
- Covariance structure approximation via gLasso in high-dimensional supervised classification
- A New Lower Bound for Multiple Hypothesis Testing
- The cluster graphical Lasso for improved estimation of Gaussian graphical models
- Title not available (Why is that?)
Cited In (11)
- Discrepancy between structured matrices in the power analysis of a separability test
- Testing for independence of large dimensional vectors
- Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis
- Incorporating grouping information into Bayesian Gaussian graphical model selection
- Block-diagonal test for high-dimensional covariance matrices
- Robust Bayesian model selection for variable clustering with the Gaussian graphical model
- Spectral statistics of sample block correlation matrices
- A non-asymptotic approach for model selection via penalization in high-dimensional mixture of experts models
- Approximation with a Kronecker product structure with one component as compound symmetry or autoregression via entropy loss function
- Structured learning of time-varying networks with application to PM2.5 data
- Joint rank and variable selection for parsimonious estimation in a high-dimensional finite mixture regression model
Uses Software
This page was built for publication: Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4690959)
