Shrinkage tuning parameter selection in precision matrices estimation
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Publication:538141
DOI10.1016/J.JSPI.2011.03.008zbMATH Open1213.62099arXiv0909.1123OpenAlexW1556261580MaRDI QIDQ538141FDOQ538141
Authors: Heng Lian 
Publication date: 23 May 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: Recent literature provides many computational and modeling approaches for covariance matrices estimation in a penalized Gaussian graphical models but relatively little study has been carried out on the choice of the tuning parameter. This paper tries to fill this gap by focusing on the problem of shrinkage parameter selection when estimating sparse precision matrices using the penalized likelihood approach. Previous approaches typically used K-fold cross-validation in this regard. In this paper, we first derived the generalized approximate cross-validation for tuning parameter selection which is not only a more computationally efficient alternative, but also achieves smaller error rate for model fitting compared to leave-one-out cross-validation. For consistency in the selection of nonzero entries in the precision matrix, we employ a Bayesian information criterion which provably can identify the nonzero conditional correlations in the Gaussian model. Our simulations demonstrate the general superiority of the two proposed selectors in comparison with leave-one-out cross-validation, ten-fold cross-validation and Akaike information criterion.
Full work available at URL: https://arxiv.org/abs/0909.1123
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Cited In (15)
- Ridge estimation of inverse covariance matrices from high-dimensional data
- Estimation of a sparse and spiked covariance matrix
- Selecting the tuning parameter in penalized Gaussian graphical models
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- High-dimensional missing data imputation via undirected graphical model
- A computationally fast alternative to cross-validation in penalized Gaussian graphical models
- Model selection and estimation in the Gaussian graphical model
- Selecting a shrinkage parameter in structural equation modeling with a near singular covariance matrix by the GIC minimization method
- Partial correlation graphical LASSO
- MARS as an alternative approach of Gaussian graphical model for biochemical networks
- Shrinking characteristics of precision matrix estimators
- Group-wise shrinkage estimation in penalized model-based clustering
- Shrinkage estimation of large dimensional precision matrix using random matrix theory
- The spectral condition number plot for regularization parameter evaluation
- Tuning-parameter selection in regularized estimations of large covariance matrices
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