In this paper we propose a new regression interpretation of the Cholesky factor of the covariance matrix, as opposed to the well known regression interpretation of the Cholesky factor of the inverse covariance, which leads to a new class of regularized covariance estimators suitable for high-dimensional problems. Regularizing the Cholesky factor of the covariance via this regression interpretation always results in a positive definite estimator. In particular, one can obtain a positive definite banded estimator of the covariance matrix at the same computational cost as the popular banded estimator proposed by Bickel and Levina (2008b), which is not guaranteed to be positive definite. We also establish theoretical connections between banding Cholesky factors of the covariance matrix and its inverse and constrained maximum likelihood estimation under the banding constraint, and compare the numerical performance of several methods in simulations and on a sonar data example.
Asymptotic distribution for the proportional covariance model under multivariate normal distributions is derived. To this end, the parametrization of the common covariance matrix by its Cholesky root is adopted. The derivations are made in three steps. First, the asymptotic distribution of the maximum likelihood estimators of the proportionality coefficients and the Cholesky inverse root of the common covariance matrix is derived by finding the information matrix and its inverse. Next, the asymptotic distributions for the case of the Cholesky root of the common covariance matrix and finally fo…
Covariance estimation for high-dimensional datasets is a fundamental problem in modern day statistics with numerous applications. In these high dimensional datasets, the number of variables p is typically larger than the sample size n. A popular way of tackling this challenge is to induce sparsity in the covariance matrix, its inverse or a relevant transformation. In particular, methods inducing sparsity in the Cholesky pa- rameter of the inverse covariance matrix can be useful as they are guaranteed to give a positive definite estimate of the covariance matrix. Also, the estimated sparsity pa…
This paper focuses on exploring the sparsity of the inverse covariance matrix $\bSigma^{-1}$, or the precision matrix. We form blocks of parameters based on each off-diagonal band of the Cholesky factor from its modified Cholesky decomposition, and penalize each block of parameters using the $L_2$-norm instead of individual elements. We develop a one-step estimator, and prove an oracle property which consists of a notion of block sign-consistency and asymptotic normality. In particular, provided the initial estimator of the Cholesky factor is good enough and the true Cholesky has finite number…
Spatial statistics often involves Cholesky decomposition of covariance matrices. To ensure scalability to high dimensions, several recent approximations have assumed a sparse Cholesky factor of the precision matrix. We propose a hierarchical Vecchia approximation, whose conditional-independence assumptions imply sparsity in the Cholesky factors of both the precision and the covariance matrix. This remarkable property is crucial for applications to high-dimensional spatio-temporal filtering. We present a fast and simple algorithm to compute our hierarchical Vecchia approximation, and we provide…
We introduce a new sparse sliced inverse regression estimator called Cholesky matrix penalization and its adaptive version for achieving sparsity in estimating the dimensions of the central subspace. The new estimators use the Cholesky decomposition of the covariance matrix of the covariates and include a regularization term in the objective function to achieve sparsity in a computationally efficient manner. We establish the theoretical values of the tuning parameters that achieve estimation and variable selection consistency for the central subspace. Furthermore, we propose a new projection i…
In stochastic variational inference, use of the reparametrization trick for the multivariate Gaussian gives rise to efficient updates for the mean and Cholesky factor of the covariance matrix, which depend on the first order derivative of the log joint model density. In this article, we show that an alternative unbiased gradient estimate for the Cholesky factor which depends on the second order derivative of the log joint model density can be derived using Stein's Lemma. This leads to a second order stochastic gradient update for the Cholesky factor which is able to improve convergence, as it …
Bayesian DAG Structure Learning with Simultaneous Shrinkage Covariance Estimation under Scale-Mixture Error Distributions in the Proportional High-Dimensional Regime
Ferdowsi University of Mashhad（马什哈德 Ferdowsi 大学）；North Carolina Agricultural and Technical State University（北卡罗来纳农业与技术州立大学）
We present a graph-based technique for estimating sparse covariance matrices and their inverses from high-dimensional data. The method is based on learning a directed acyclic graph (DAG) and estimating parameters of a multivariate Gaussian distribution based on a DAG. For inferring the underlying DAG we use the PC-algorithm and for estimating the DAG-based covariance matrix and its inverse, we use a Cholesky decomposition approach which provides a positive (semi-)definite sparse estimate. We present a consistency result in the high-dimensional framework and we compare our method with the Glass…
In spatial statistics, it is often assumed that the spatial field of interest is stationary and its covariance has a simple parametric form, but these assumptions are not appropriate in many applications. Given replicate observations of a Gaussian spatial field, we propose nonstationary and nonparametric Bayesian inference on the spatial dependence. Instead of estimating the quadratic (in the number of spatial locations) entries of the covariance matrix, the idea is to infer a near-linear number of nonzero entries in a sparse Cholesky factor of the precision matrix. Our prior assumptions are m…
Gaussian random fields are a powerful tool for modeling environmental processes. For high dimensional samples, classical approaches for estimating the covariance parameters require highly challenging and massive computations, such as the evaluation of the Cholesky factorization or solving linear systems. Recently, Anitescu, Chen and Stein \cite{M.Anitescu} proposed a fast and scalable algorithm which does not need such burdensome computations. The main focus of this article is to study the asymptotic behavior of the algorithm of Anitescu et al. (ACS) for regular and irregular grids in the incr…
Last decade witnesses significant methodological and theoretical advances in estimating large precision matrices. In particular, there are scientific applications such as longitudinal data, meteorology and spectroscopy in which the ordering of the variables can be interpreted through a bandable structure on the Cholesky factor of the precision matrix. However, the minimax theory has still been largely unknown, as opposed to the well established minimax results over the corresponding bandable covariance matrices. In this paper, we focus on two commonly used types of parameter spaces, and develo…
Finding an unconstrained and statistically interpretable reparameterization of a covariance matrix is still an open problem in statistics. Its solution is of central importance in covariance estimation, particularly in the recent high-dimensional data environment where enforcing the positive-definiteness constraint could be computationally expensive. We provide a survey of the progress made in modeling covariance matrices from two relatively complementary perspectives: (1) generalized linear models (GLM) or parsimony and use of covariates in low dimensions, and (2) regularization or sparsity f…
Estimation of the covariance matrix for high-dimensional multivariate datasets is a challenging and important problem in modern statistics. In this paper, we focus on high-dimensional Gaussian DAG models where sparsity is induced on the Cholesky factor L of the inverse covariance matrix. In recent work, ([Cao, Khare, and Ghosh, 2019]), we established high-dimensional sparsity selection consistency for a hierarchical Bayesian DAG model, where an Erdos-Renyi prior is placed on the sparsity pattern in the Cholesky factor L, and a DAG-Wishart prior is placed on the resulting non-zero Cholesky entr…
Conditional Gaussian graphical models (cGGM) are a recent reparametrization of the multivariate linear regression model which explicitly exhibits $i)$ the partial covariances between the predictors and the responses, and $ii)$ the partial covariances between the responses themselves. Such models are particularly suitable for interpretability since partial covariances describe strong relationships between variables. In this framework, we propose a regularization scheme to enhance the learning strategy of the model by driving the selection of the relevant input features by prior structural infor…
This paper focuses on the multivariate linear mixed-effects model, including all the correlations between the random effects when the marginal residual terms are assumed uncorrelated and homoscedastic with possibly different standard deviations. The random effects covariance matrix is Cholesky factorized to directly estimate the variance components of these random effects. This strategy enables a consistent estimate of the random effects covariance matrix which, generally, has a poor estimate when it is grossly (or directly) estimated, using the estimating methods such as the EM algorithm. By …
Multidimensional function data arise from many fields nowadays. The covariance function plays an important role in the analysis of such increasingly common data. In this paper, we propose a novel nonparametric covariance function estimation approach under the framework of reproducing kernel Hilbert spaces (RKHS) that can handle both sparse and dense functional data. We extend multilinear rank structures for (finite-dimensional) tensors to functions, which allow for flexible modeling of both covariance operators and marginal structures. The proposed framework can guarantee that the resulting es…
We consider the joint sparse estimation of regression coefficients and the covariance matrix for covariates in a high-dimensional regression model, where the predictors are both relevant to a response variable of interest and functionally related to one another via a Gaussian directed acyclic graph (DAG) model. Gaussian DAG models introduce sparsity in the Cholesky factor of the inverse covariance matrix, and the sparsity pattern in turn corresponds to specific conditional independence assumptions on the underlying predictors. A variety of methods have been developed in recent years for Bayesi…
In this work, we propose a scalable Bayesian procedure for learning the local dependence structure in a high-dimensional model where the variables possess a natural ordering. The ordering of variables can be indexed by time, the vicinities of spatial locations, and so on, with the natural assumption that variables far apart tend to have weak correlations. Applications of such models abound in a variety of fields such as finance, genome associations analysis and spatial modeling. We adopt a flexible framework under which each variable is dependent on its neighbors or predecessors, and the neigh…
In functional data analysis (FDA), covariance function is fundamental not only as a critical quantity for understanding elementary aspects of functional data but also as an indispensable ingredient for many advanced FDA methods. This paper develops a new class of nonparametric covariance function estimators in terms of various spectral regularizations of an operator associated with a reproducing kernel Hilbert space. Despite their nonparametric nature, the covariance estimators are automatically positive semi-definite without any additional modification steps. An unconventional representer the…
Given n observations of a p-dimensional random vector, the covariance matrix and its inverse (precision matrix) are needed in a wide range of applications. Sample covariance (e.g. its eigenstructure) can misbehave when p is comparable to the sample size n. Regularization is often used to mitigate the problem. In this paper, we proposed an l1-norm penalized pseudo-likelihood estimate for the inverse covariance matrix. This estimate is sparse due to the l1-norm penalty, and we term this method SPLICE. Its regularization path can be computed via an algorithm based on the homotopy/LARS-Lasso algor…
In this paper we present a frequentist-Bayesian hybrid method for estimating covariances of unfolded distributions using pseudo-experiments. The method is compared with other covariance estimation methods using the unbiased Rao-Cramer bound (RCB) and frequentist pseudo-experiments. We show that the unbiased RCB method diverges from the other two methods when regularization is introduced. The new hybrid method agrees well with the frequentist pseudo-experiment method for various amounts of regularization. However, the hybrid method has the added advantage of not requiring a clear likelihood def…
High-Dimensional Regularization of the Spatial Sign Covariance Matrix for Robust Shape Estimation
Whiting School of Engineering, Johns Hopkins University（约翰斯·霍普金斯大学惠廷工程学院）；Department of Applied Mathematics and Statistics, Johns Hopkins University（约翰斯·霍普金斯大学应用数学与统计学系）；Department of Statistics & Data Science Institute, University of Chicago（芝加哥大学统计与数据科学研究所）
The estimation of the covariance matrix is an initial step in many multivariate statistical methods such as principal components analysis and factor analysis, but in many practical applications the dimensionality of the sample space is large compared to the number of samples, and the usual maximum likelihood estimate is poor. Typically, improvements are obtained by modelling or regularization. From a practical point of view, these methods are often computationally heavy and rely on approximations. As a fast substitute, we propose an easily calculable maximum a posteriori (MAP) estimator based …
The estimation of covariance matrices of multiple classes with limited training data is a difficult problem. The sample covariance matrix (SCM) is known to perform poorly when the number of variables is large compared to the available number of samples. In order to reduce the mean squared error (MSE) of the SCM, regularized (shrinkage) SCM estimators are often used. In this work, we consider regularized SCM (RSCM) estimators for multiclass problems that couple together two different target matrices for regularization: the pooled (average) SCM of the classes and the scaled identity matrix. Regu…
Covariance estimation and selection for high-dimensional multivariate datasets is a fundamental problem in modern statistics. Gaussian directed acyclic graph (DAG) models are a popular class of models used for this purpose. Gaussian DAG models introduce sparsity in the Cholesky factor of the inverse covariance matrix, and the sparsity pattern in turn corresponds to specific conditional independence assumptions on the underlying variables. A variety of priors have been developed in recent years for Bayesian inference in DAG models, yet crucial convergence and sparsity selection properties for t…
