Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 549631
Title D-Trace estimation of a precision matrix with eigenvalue control
Author(s) Avagyan, Vahe
Source Communications in statistics: Simulation and computation (2019). - ISSN 0361-0918 - 18 p.
DOI https://doi.org/10.1080/03610918.2019.1580730
Department(s) Mathematical and Statistical Methods - Biometris
Publication type Refereed Article in a scientific journal
Publication year 2019
Keyword(s) D-trace - Gaussian graphical model - gene expression - Hannan-Quinn information criterion - trace penalization
Abstract

The estimation of a precision matrix has an important role in several research fields. In high dimensional settings, one of the most prominent approaches to estimate the precision matrix is the Lasso norm penalized convex optimization. This framework guarantees the sparsity of the estimated precision matrix. However, it does not control the eigenspectrum of the obtained estimator. Moreover, Lasso penalization shrinks the largest eigenvalues of the estimated precision matrix. In this article, we focus on D-trace estimation methodology of a precision matrix. We propose imposing a negative trace penalization on the objective function of the D-trace approach, aimed to control the eigenvalues of the estimated precision matrix. Through extensive numerical analysis, using simulated and real datasets, we show the advantageous performance of our proposed methodology.

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