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High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence. (English) Zbl 1274.62190
Summary: Given i.i.d. observations of a random vector \(X\in \mathbb R^{p}\), we study the problem of estimating both its covariance matrix \(\Sigma ^{*}\), and its inverse covariance or concentration matrix \(\Theta ^{*}=(\Sigma ^{*})^{ - 1}\). When \(X\) is multivariate Gaussian, the non-zero structure of \(\Theta ^{*}\) is specified by the graph of an associated Gaussian Markov random field; and a popular estimator for such sparse \(\Theta ^{*}\) is the \(\ell _{1}\)-regularized Gaussian MLE. This estimator is sensible even for for non-Gaussian \(X\), since it corresponds to minimizing an \(\ell _{1}\)-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 \(\ell _{\infty }\)-operator norm of the true covariance matrix \(\Sigma ^{*}\); and (b) the \(\ell _{\infty }\)-operator norm of the sub-matrix \(\Gamma ^{*}_{SS}\), where \(S\) indexes the graph edges, and \(\Gamma ^{*}=(\Theta ^{*})^{ - 1}\otimes (\Theta ^{*})^{ - 1}\); and (c) a mutual incoherence or irrepresentability measure on the matrix \(\Gamma ^{*}\); and (d) the rate of decay \(1/f(n,\delta )\) on the probabilities \(\{|\hat \Sigma^{n}_{ij}-\Sigma^{*}_{ij}|>\delta\}\), where \(\hat \Sigma^{n}\) is the sample covariance based on \(n\) samples. Our first result establishes consistency of our estimate \(\hat \Theta\) 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 \(\hat \Theta\) correctly specifies the zero pattern of the concentration matrix \(\Theta^{*}\). We illustrate our theoretical results via simulations for various graphs and problem parameters, showing good correspondences between the theoretical predictions and behavior in simulations.

MSC:
62F12 Asymptotic properties of parametric estimators
62F30 Parametric inference under constraints
Software:
glasso
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