AConstrainedL1MinimizationApproachtoSparse.PDFVIP

A Constrained 1 Minimization Approach to Sparse Precision Matrix Estimation Tony CAI , Weidong LIU, and Xi LUO This article proposes a constrained 1 minimization method for estimating a sparse inverse covariance matrix based on a sample of n iid p -variate random variables. The resulting estimator is shown to have a number of desirable properties. In particular, the rate of convergence between the estimator and the true s-sparse precision matrix under the spectral norm is s√logp /n when the population distribution has either exponential-type tails or polynomial-type tails. We present convergence rates under the elementwise ∞ norm and Frobenius norm. In addition, we consider graphical model selection. The procedure is easily implemented by linear programming. Numerical performance of the estimator is investigated using both simulated and real data. In particular, the procedure is applied to analyze a breast cancer dataset and is found to perform favorably compared with existing methods. KEY WORDS: Covariance matrix; Frobenius norm; Gaussian graphical model; Precision matrix; Rate of convergence; Spectral norm. 1. INTRODUCTION and Bickel and Levina (2008b) proposed thresholding of the sample covariance matrix for estimating a class of sparse co- Estimation of a covariance matrix and its inverse is an im- variance matrices and obtained rates of convergence for the portant problem in many areas of statistical analysis; among thresholding estimators. th