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Efficient Minimax Estimation of a Class of High-Dimensional Sparse Precision Matrices

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3 Author(s)
Xiaohui Chen ; Dept. of Electr. & Comput. Eng., Univ. of British Columbia, Vancouver, BC, Canada ; Young-Heon Kim ; Wang, Z.J.

Estimation of the covariance matrix and its inverse, the precision matrix, in high-dimensional situations is of great interest in many applications. In this paper, we focus on the estimation of a class of sparse precision matrices which are assumed to be approximately inversely closed for the case that the dimensionality p can be much larger than the sample size n, which is fundamentally different from the classical case that p <; n. Different in nature from state-of-the-art methods that are based on penalized likelihood maximization or constrained error minimization, based on the truncated Neumann series representation, we propose a computationally efficient precision matrix estimator that has a computational complexity of O (p3). We prove that the proposed estimator is consistent in probability and in L2 under the spectral norm. Moreover, its convergence is shown to be rate-optimal in the sense of minimax risk. We further prove that the proposed estimator is model selection consistent by establishing a convergence result under the entry-wise ∞-norm. Simulations demonstrate the encouraging finite sample size performance and computational advantage of the proposed estimator. The proposed estimator is also applied to a real breast cancer data and shown to outperform existing precision matrix estimators.

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Signal Processing, IEEE Transactions on  (Volume:60 ,  Issue: 6 )