Adaptive Estimation of MTP_2 Graphical Models
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We consider the problem of estimating (diagonally dominant) M-matrices as precision matrices in Gaussian graphical models. Such models have received increasing attention in recent years, and have shown interesting properties, e.g., the maximum likelihood estimator exists with as little as two observations regardless of the underlying dimension. In this paper, we propose an adaptive estimation method, which consists of multiple stages: In the first stage, we solve an ℓ_1-regularized maximum likelihood estimation problem, which leads to an initial estimate; in the subsequent stages, we iteratively refine the initial estimate by solving a sequence of weighted ℓ_1-regularized problems. We further establish the theoretical guarantees on the estimation error, which consists of optimization error and statistical error. The optimization error decays to zero at a linear rate, indicating that the estimate is refined iteratively in subsequent stages, and the statistical error characterizes the statistical rate. The proposed method outperforms state-of-the-art methods in estimating precision matrices and identifying graph edges, as evidenced by synthetic and financial time-series data sets.
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