Inference for Sparse Conditional Precision Matrices
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Given n i.i.d. observations of a random vector (X,Z), where X is a high-dimensional vector and Z is a low-dimensional index variable, we study the problem of estimating the conditional inverse covariance matrix Ω(z) = (E[(X-E[X | Z])(X-E[X | Z])^T | Z=z])^-1 under the assumption that the set of non-zero elements is small and does not depend on the index variable. We develop a novel procedure that combines the ideas of the local constant smoothing and the group Lasso for estimating the conditional inverse covariance matrix. A proximal iterative smoothing algorithm is used to solve the corresponding convex optimization problems. We prove that our procedure recovers the conditional independence assumptions of the distribution X | Z with high probability. This result is established by developing a uniform deviation bound for the high-dimensional conditional covariance matrix from its population counterpart, which may be of independent interest. Furthermore, we develop point-wise confidence intervals for individual elements of the conditional inverse covariance matrix. We perform extensive simulation studies, in which we demonstrate that our proposed procedure outperforms sensible competitors. We illustrate our proposal on a S&P 500 stock price data set.
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