The Annals of Statistics

Gaussian graphical model estimation with false discovery rate control

Weidong Liu

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Abstract

This paper studies the estimation of a high-dimensional Gaussian graphical model (GGM). Typically, the existing methods depend on regularization techniques. As a result, it is necessary to choose the regularized parameter. However, the precise relationship between the regularized parameter and the number of false edges in GGM estimation is unclear. In this paper we propose an alternative method by a multiple testing procedure. Based on our new test statistics for conditional dependence, we propose a simultaneous testing procedure for conditional dependence in GGM. Our method can control the false discovery rate (FDR) asymptotically. The numerical performance of the proposed method shows that our method works quite well.

Article information

Source
Ann. Statist., Volume 41, Number 6 (2013), 2948-2978.

Dates
First available in Project Euclid: 1 January 2014

Permanent link to this document
https://projecteuclid.org/euclid.aos/1388545674

Digital Object Identifier
doi:10.1214/13-AOS1169

Mathematical Reviews number (MathSciNet)
MR3161453

Zentralblatt MATH identifier
1288.62094

Subjects
Primary: 62H12: Estimation 62H15: Hypothesis testing

Keywords
False discovery rate Gaussian graphical model multiple tests

Citation

Liu, Weidong. Gaussian graphical model estimation with false discovery rate control. Ann. Statist. 41 (2013), no. 6, 2948--2978. doi:10.1214/13-AOS1169. https://projecteuclid.org/euclid.aos/1388545674


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Supplemental materials

  • Supplementary material: Supplement to “Gaussian graphical model estimation with false discovery rate control”. This supplemental material includes additional numerical results for GFC-Dantizg and GFC-Lasso.
    Digital Object Identifier: doi:10.1214/13-AOS1169SUPP
    Supplemental PDF (772 KB)

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