The Annals of Statistics

Gemini: Graph estimation with matrix variate normal instances

Shuheng Zhou

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Abstract

Undirected graphs can be used to describe matrix variate distributions. In this paper, we develop new methods for estimating the graphical structures and underlying parameters, namely, the row and column covariance and inverse covariance matrices from the matrix variate data. Under sparsity conditions, we show that one is able to recover the graphs and covariance matrices with a single random matrix from the matrix variate normal distribution. Our method extends, with suitable adaptation, to the general setting where replicates are available. We establish consistency and obtain the rates of convergence in the operator and the Frobenius norm. We show that having replicates will allow one to estimate more complicated graphical structures and achieve faster rates of convergence. We provide simulation evidence showing that we can recover graphical structures as well as estimating the precision matrices, as predicted by theory.

Article information

Source
Ann. Statist. Volume 42, Number 2 (2014), 532-562.

Dates
First available in Project Euclid: 20 May 2014

Permanent link to this document
http://projecteuclid.org/euclid.aos/1400592169

Digital Object Identifier
doi:10.1214/13-AOS1187

Mathematical Reviews number (MathSciNet)
MR3210978

Subjects
Primary: 62F12: Asymptotic properties of estimators
Secondary: 62F30: Inference under constraints

Keywords
Graphical model selection covariance estimation inverse covariance estimation graphical Lasso matrix variate normal distribution

Citation

Zhou, Shuheng. Gemini: Graph estimation with matrix variate normal instances. Ann. Statist. 42 (2014), no. 2, 532--562. doi:10.1214/13-AOS1187. http://projecteuclid.org/euclid.aos/1400592169.


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Supplemental materials

  • Supplementary material: Supplementary material for “Gemini: Graph estimation with matrix variate normal instances”. The technical proofs are given in the supplementary material [29].