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Sparse precision matrix estimation via lasso penalized D-trace loss. (English) Zbl 1285.62063
Summary: We introduce a constrained empirical loss minimization framework for estimating high-dimensional sparse precision matrices and propose a new loss function, called the D-trace loss, for that purpose. A novel sparse precision matrix estimator is defined as the minimizer of the lasso penalized D-trace loss under a positive-definiteness constraint. Under a new irrepresentability condition, the lasso penalized D-trace estimator is shown to have the sparse recovery property. Examples demonstrate that the new condition can hold in situations where the irrepresentability condition for the lasso penalized Gaussian likelihood estimator fails.
We establish rates of convergence for the new estimator in the elementwise maximum, Frobenius and operator norms. We develop a very efficient algorithm based on alternating direction methods for computing the proposed estimator. Simulated and real data are used to demonstrate the computational efficiency of our algorithm and the finite-sample performance of the new estimator. The lasso penalized D-trace estimator is found to compare favourably with the lasso penalized Gaussian likelihood estimator.

62H12 Estimation in multivariate analysis
65C60 Computational problems in statistics (MSC2010)
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