GAUSSIAN GRAPHICAL MODEL ESTIMATION WITH FALSE DISCOVERY RATE CONTROL

• 成果类型: Article
• 署名作者: Liu, Weidong
• 署名单位: Shanghai Jiao Tong University; Shanghai Jiao Tong University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/13-AOS1169
• 发表日期: 2013
• 页码: 2948-2978
• 关键词: Covariance Estimation; selection; Lasso; RECOVERY

摘要

This paper studies the estimation of a high-dimensional Gaussian graphical model (GGM). Typically, the existing methods depend on regularization techniques. As a result, it is necessary to choose the regularized parameter. However, the precise relationship between the regularized parameter and the number of false edges in GGM estimation is unclear. In this paper we propose an alternative method by a multiple testing procedure. Based on our new test statistics for conditional dependence, we propose a simultaneous testing procedure for conditional dependence in GGM. Our method can control the false discovery rate (FDR) asymptotically. The numerical performance of the proposed method shows that our method works quite well.