Electronic Journal of Statistics

Confidence intervals for high-dimensional inverse covariance estimation

Jana Janková and Sara van de Geer

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We propose methodology for statistical inference for low-dimensional parameters of sparse precision matrices in a high-dimensional setting. Our method leads to a non-sparse estimator of the precision matrix whose entries have a Gaussian limiting distribution. Asymptotic properties of the novel estimator are analyzed for the case of sub-Gaussian observations under a sparsity assumption on the entries of the true precision matrix and regularity conditions. Thresholding the de-sparsified estimator gives guarantees for edge selection in the associated graphical model. Performance of the proposed method is illustrated in a simulation study.

Article information

Electron. J. Statist., Volume 9, Number 1 (2015), 1205-1229.

Received: March 2014
First available in Project Euclid: 1 June 2015

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62J07: Ridge regression; shrinkage estimators
Secondary: 62F12: Asymptotic properties of estimators

Confidence intervals graphical Lasso high-dimensional precision matrix sparsity


Janková, Jana; van de Geer, Sara. Confidence intervals for high-dimensional inverse covariance estimation. Electron. J. Statist. 9 (2015), no. 1, 1205--1229. doi:10.1214/15-EJS1031. https://projecteuclid.org/euclid.ejs/1433195859

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