Sparse estimation of a covariance matrix

Jacob Bien and Robert J. Tibshirani

Biometrika, 2011, vol. 98, issue 4, 807-820

Abstract: We suggest a method for estimating a covariance matrix on the basis of a sample of vectors drawn from a multivariate normal distribution. In particular, we penalize the likelihood with a lasso penalty on the entries of the covariance matrix. This penalty plays two important roles: it reduces the effective number of parameters, which is important even when the dimension of the vectors is smaller than the sample size since the number of parameters grows quadratically in the number of variables, and it produces an estimate which is sparse. In contrast to sparse inverse covariance estimation, our method's close relative, the sparsity attained here is in the covariance matrix itself rather than in the inverse matrix. Zeros in the covariance matrix correspond to marginal independencies; thus, our method performs model selection while providing a positive definite estimate of the covariance. The proposed penalized maximum likelihood problem is not convex, so we use a majorize-minimize approach in which we iteratively solve convex approximations to the original nonconvex problem. We discuss tuning parameter selection and demonstrate on a flow-cytometry dataset how our method produces an interpretable graphical display of the relationship between variables. We perform simulations that suggest that simple elementwise thresholding of the empirical covariance matrix is competitive with our method for identifying the sparsity structure. Additionally, we show how our method can be used to solve a previously studied special case in which a desired sparsity pattern is prespecified. Copyright 2011, Oxford University Press.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://hdl.handle.net/10.1093/biomet/asr054 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:biomet:v:98:y:2011:i:4:p:807-820

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Biometrika is currently edited by Paul Fearnhead

More articles in Biometrika from Biometrika Trust Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Bibliographic data for series maintained by Oxford University Press ().