Open Access
2024 Precision matrix estimation under the horseshoe-like prior–penalty dual
Ksheera Sagar, Sayantan Banerjee, Jyotishka Datta, Anindya Bhadra
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Electron. J. Statist. 18(1): 1-46 (2024). DOI: 10.1214/23-EJS2196


Precision matrix estimation in a multivariate Gaussian model is fundamental to network estimation. Although there exist both Bayesian and frequentist approaches to this, it is difficult to obtain good Bayesian and frequentist properties under the same prior–penalty dual. To bridge this gap, our contribution is a novel prior–penalty dual that closely approximates the graphical horseshoe prior and penalty, and performs well in both Bayesian and frequentist senses. A chief difficulty with the graphical horseshoe prior is a lack of closed form expression of the density function, which we overcome in this article. In terms of theory, we establish posterior convergence rate of the precision matrix that matches the convergence rate of the frequentist graphical lasso estimator, in addition to the frequentist consistency of the MAP estimator at the same rate. In addition, our results also provide theoretical justifications for previously developed approaches that have been unexplored so far, e.g. for the graphical horseshoe prior. Computationally efficient EM and MCMC algorithms are developed respectively for the penalized likelihood and fully Bayesian estimation problems. In numerical experiments, the horseshoe-based approaches echo their superior theoretical properties by comprehensively outperforming the competing methods. A protein–protein interaction network estimation in B-cell lymphoma is considered to validate the proposed methodology.


The authors would like to thank the Associate Editor and three anonymous referees for their valuable comments and feedback that resulted in substantial improvement in the revised version of the manuscript. S.B. was supported by DST INSPIRE Faculty Award, Grant No. 04/2015/002165, and IIM Indore Young Faculty Research Chair award, J.D. was supported by U.S. National Science Foundation Grant DMS-2015460, K.S. and A.B. were partially supported by U.S. National Science Foundation Grant DMS-2014371.


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Ksheera Sagar. Sayantan Banerjee. Jyotishka Datta. Anindya Bhadra. "Precision matrix estimation under the horseshoe-like prior–penalty dual." Electron. J. Statist. 18 (1) 1 - 46, 2024.


Received: 1 March 2023; Published: 2024
First available in Project Euclid: 24 January 2024

Digital Object Identifier: 10.1214/23-EJS2196

Primary: 62H12
Secondary: 62F12 , 62F15

Keywords: graphical models , non-convex optimization , posterior concentration , posterior consistency , Sparsity

Vol.18 • No. 1 • 2024
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