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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.

62F12 Asymptotic properties of parametric estimators
62F30 Parametric inference under constraints
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