Joint Estimation of Multiple Precision Matrices with Common Structures
Yufeng Liu, Wonyul Lee
Abstract
minimization framework. We establish both estimation and selection consistency of the proposed estimator in the high dimensional setting. The proposed estimator achieves a faster convergence rate for the common structure in certain cases. Our numerical examples demonstrate that our new estimator can perform better than several existing methods in terms of the entropy loss and Frobenius loss. An application to a glioblastoma cancer data set reveals some interesting gene networks across multiple cancer subtypes.
Topics & Concepts
EstimatorCovarianceComputer scienceConsistency (knowledge bases)Covariance matrixConvergence (economics)Entropy (arrow of time)AlgorithmMathematical optimizationMathematicsEstimation of covariance matricesInverseStatisticsArtificial intelligenceQuantum mechanicsEconomicsPhysicsGeometryEconomic growthGene expression and cancer classificationStatistical Methods and InferenceGene Regulatory Network Analysis