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Efficient Minimax Estimation of a Class of High-Dimensional Sparse Precision Matrices

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PROJECT TITLE :

Efficient Minimax Estimation of a Class of High-Dimensional Sparse Precision Matrices

ABSTRACT:

Estimation of the covariance matrix and its inverse, the precision matrix, in high-dimensional situations is of great interest in many applications. In this paper, we focus on the estimation of a class of sparse precision matrices which are assumed to be approximately inversely closed for the case that the dimensionality $p$ can be much larger than the sample size $n$, which is fundamentally different from the classical case that $p < n$. Different in nature from state-of-the-art methods that are based on penalized likelihood maximization or constrained error minimization, based on the truncated Neumann series representation, we propose a computationally efficient precision matrix estimator that has a computational complexity of $O(p^{3})$. We prove that the proposed estimator is consistent in probability and in $L^{2}$ under the spectral norm. Moreover, its convergence is shown to be rate-optimal in the sense of minimax risk. We further prove that the proposed estimator is model selection consistent by establishing a convergence result under the entry-wise $infty$-norm. Simulations demonstrate the encouraging finite sample size performance and computational advantage of the proposed estimator. The proposed estimator is also applied to a real breast cancer data and shown to outperform existing precision matrix estimators.


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Efficient Minimax Estimation of a Class of High-Dimensional Sparse Precision Matrices - 4.8 out of 5 based on 49 votes

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