A convex pseudolikelihood framework for high dimensional partial correlation estimation with convergence guarantees

DOI10.1111/RSSB.12088zbMATH Open1414.62183arXiv1307.5381OpenAlexW1990948184MaRDI QIDQ5378137FDOQ5378137

Authors: Kshitij Khare, Sang-Yun Oh, Bala Rajaratnam 

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Abstract: Sparse high dimensional graphical model selection is a topic of much interest in modern day statistics. A popular approach is to apply l1-penalties to either (1) parametric likelihoods, or, (2) regularized regression/pseudo-likelihoods, with the latter having the distinct advantage that they do not explicitly assume Gaussianity. As none of the popular methods proposed for solving pseudo-likelihood based objective functions have provable convergence guarantees, it is not clear if corresponding estimators exist or are even computable, or if they actually yield correct partial correlation graphs. This paper proposes a new pseudo-likelihood based graphical model selection method that aims to overcome some of the shortcomings of current methods, but at the same time retain all their respective strengths. In particular, we introduce a novel framework that leads to a convex formulation of the partial covariance regression graph problem, resulting in an objective function comprised of quadratic forms. The objective is then optimized via a coordinate-wise approach. The specific functional form of the objective function facilitates rigorous convergence analysis leading to convergence guarantees; an important property that cannot be established using standard results, when the dimension is larger than the sample size, as is often the case in high dimensional applications. These convergence guarantees ensure that estimators are well-defined under very general conditions, and are always computable. In addition, the approach yields estimators that have good large sample properties and also respect symmetry. Furthermore, application to simulated/real data, timing comparisons and numerical convergence is demonstrated. We also present a novel unifying framework that places all graphical pseudo-likelihood methods as special cases of a more general formulation, leading to important insights.

Full work available at URL: https://arxiv.org/abs/1307.5381

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zbMATH Keywords

partial correlation graphgene regulatory networkgraphical model selectionsoft thresholdingconvergence guaranteesparse inverse covariance estimationgeneralized pseudolikelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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