D-trace estimation of a precision matrix using adaptive Lasso penalties Articles uri icon

publication date

  • June 2018

start page

  • 425

end page

  • 447

volume

  • 12

international standard serial number (ISSN)

  • 1862-5347

abstract

  • The accurate estimation of a precision matrix plays a crucial role in the current age of high-dimensional data explosion. To deal with this problem, one of the prominent and commonly used techniques is the norm (Lasso) penalization for a given loss function. This approach guarantees the sparsity of the precision matrix estimate for properly selected penalty parameters. However, the norm penalization often fails to control the bias of obtained estimator because of its overestimation behavior. In this paper, we introduce two adaptive extensions of the recently proposed norm penalized D-trace loss minimization method. They aim at reducing the produced bias in the estimator. Extensive numerical results, using both simulated and real datasets, show the advantage of our proposed estimators.

keywords

  • Adaptive thresholding; D-trace loss; Gaussian graphical model; Gene expression data; High-dimensionality