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2011 High-dimensional covariance estimation by minimizing 1-penalized log-determinant divergence
Pradeep Ravikumar, Martin J. Wainwright, Garvesh Raskutti, Bin Yu
Electron. J. Statist. 5(none): 935-980 (2011). DOI: 10.1214/11-EJS631

Abstract

Given i.i.d. observations of a random vector Xp, we study the problem of estimating both its covariance matrix Σ*, and its inverse covariance or concentration matrix Θ*=(Σ*)1. When X is multivariate Gaussian, the non-zero structure of Θ* is specified by the graph of an associated Gaussian Markov random field; and a popular estimator for such sparse Θ* is the 1-regularized Gaussian MLE. This estimator is sensible even for for non-Gaussian X, since it corresponds to minimizing an 1-penalized log-determinant Bregman divergence. We analyze its performance under high-dimensional scaling, in which the number of nodes in the graph p, the number of edges s, and the maximum node degree d, are allowed to grow as a function of the sample size n. In addition to the parameters (p,s,d), our analysis identifies other key quantities that control rates: (a) the -operator norm of the true covariance matrix Σ*; and (b) the operator norm of the sub-matrix Γ*SS, where S indexes the graph edges, and Γ*=(Θ*)1(Θ*)1; and (c) a mutual incoherence or irrepresentability measure on the matrix Γ* and (d) the rate of decay 1/f(n,δ) on the probabilities {|Σ̂nijΣ*ij|>δ}, where Σ̂n is the sample covariance based on n samples. Our first result establishes consistency of our estimate Θ̂ in the elementwise maximum-norm. This in turn allows us to derive convergence rates in Frobenius and spectral norms, with improvements upon existing results for graphs with maximum node degrees $d=o(\sqrt{s})$. In our second result, we show that with probability converging to one, the estimate Θ̂ correctly specifies the zero pattern of the concentration matrix Θ*. We illustrate our theoretical results via simulations for various graphs and problem parameters, showing good correspondences between the theoretical predictions and behavior in simulations.

Citation

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Pradeep Ravikumar. Martin J. Wainwright. Garvesh Raskutti. Bin Yu. "High-dimensional covariance estimation by minimizing 1-penalized log-determinant divergence." Electron. J. Statist. 5 935 - 980, 2011. https://doi.org/10.1214/11-EJS631

Information

Published: 2011
First available in Project Euclid: 15 September 2011

zbMATH: 1274.62190
MathSciNet: MR2836766
Digital Object Identifier: 10.1214/11-EJS631

Subjects:
Primary: 62F12
Secondary: 62F30

Rights: Copyright © 2011 The Institute of Mathematical Statistics and the Bernoulli Society

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