Estimating large precision matrices via modified Cholesky decomposition

MaRDI QIDQ4986367zbMATH OpenFDO

Authors Kyoungjae Lee, Jaeyong Lee

Publication date 27 April 2021

Full work available at URL https://arxiv.org/abs/1707.01143

zbMATH Keywords

precision matrixmodified Cholesky decompositionP-loss convergence rate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factorization of matrices (15A23)

Abstract: We introduce the $k$-banded Cholesky prior for estimating a high-dimensional bandable precision matrix via the modified Cholesky decomposition. The bandable assumption is imposed on the Cholesky factor of the decomposition. We obtained the P-loss convergence rate under the spectral norm and the matrix $el{l}_{infty}$ norm and the minimax lower bounds. Since the P-loss convergence rate (Lee and Lee (2017)) is stronger than the posterior convergence rate, the rates obtained are also posterior convergence rates. Furthermore, when the true precision matrix is a $k_0$-banded matrix with some finite $k_0$, the obtained P-loss convergence rates coincide with the minimax rates. The established convergence rates are slightly slower than the minimax lower bounds, but these are the fastest rates for bandable precision matrices among the existing Bayesian approaches. A simulation study is conducted to compare the performance to the other competitive estimators in various scenarios.

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Cited in

(14)

• Bayesian inference for high-dimensional decomposable graphs
• A new approach for ultrahigh dimensional precision matrix estimation
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