Sparsistency and rates of convergence in large covariance matrix estimation

Clifford Lam and Jianqing Fan

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all parameters that are zero are actually estimated as zero with probability tending to one. Depending on the case of applications, sparsity priori may occur on the covariance matrix, its inverse or its Cholesky decomposition. We study these three sparsity exploration problems under a unified framework with a general penalty function. We show that the rates of convergence for these problems under the Frobenius norm are of order (sn log pn/n)1/2, where sn is the number of nonzero elements, pn is the size of the covariance matrix and n is the sample size. This explicitly spells out the contribution of high-dimensionality is merely of a logarithmic factor. The conditions on the rate with which the tuning parameter λn goes to 0 have been made explicit and compared under different penalties. As a result, for the L1-penalty, to guarantee the sparsistency and optimal rate of convergence, the number of nonzero elements should be small: at most, among parameters, for estimating sparse covariance or correlation matrix, sparse precision or inverse correlation matrix or sparse Cholesky factor, where is the number of the nonzero elements on the off-diagonal entries. On the other hand, using the SCAD or hard-thresholding penalty functions, there is no such a restriction.

Keywords: Covariance matrix; high dimensionality; consistency; nonconcave penalized likelihood; sparsistency; asymptotic normality (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (109)

Published in Annals of Statistics, 2009, 37(6B), pp. 4254-4278. ISSN: 0090-5364

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