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A joint convex penalty for inverse covariance matrix estimation

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  • Maurya, Ashwini

Abstract

The paper proposes a joint convex penalty for estimating the Gaussian inverse covariance matrix. A proximal gradient method is developed to solve the resulting optimization problem with more than one penalty constraints. The analysis shows that imposing a single constraint is not enough and the estimator can be improved by a trade-off between two convex penalties. The developed framework can be extended to solve wide arrays of constrained convex optimization problems. A simulation study is carried out to compare the performance of the proposed method to graphical lasso and the SPICE estimate of the inverse covariance matrix.

Suggested Citation

  • Maurya, Ashwini, 2014. "A joint convex penalty for inverse covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 15-27.
    • Handle: RePEc:eee:csdana:v:75:y:2014:i:c:p:15-27
    DOI: 10.1016/j.csda.2014.01.015
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    References listed on IDEAS

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    1. Sheena Yo & Gupta Arjun K., 2003. "Estimation of the multivariate normal covariance matrix under some restrictions," Statistics & Risk Modeling, De Gruyter, vol. 21(4/2003), pages 327-342, April.
    2. Ming Yuan & Yi Lin, 2007. "Model selection and estimation in the Gaussian graphical model," Biometrika, Biometrika Trust, vol. 94(1), pages 19-35.
    3. NESTEROV, Yu., 2005. "Smooth minimization of non-smooth functions," LIDAM Reprints CORE 1819, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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