Sparse estimation of high-dimensional correlation matrices

作者：Cui Ying; Leng Chenlei^*; Sun Defeng

来源：Computational Statistics & Data Analysis, 2016, 93: 390-403.

DOI：10.1016/j.csda.2014.10.001

• Accelerated proximal gradient
• Correlation matrix
• High-dimensionality
• Positive definiteness
• Sparsity

Several attempts to estimate covariance matrices with sparsity constraints have been made. A convex optimization formulation for estimating correlation matrices as opposed to covariance matrices is proposed. An efficient accelerated proximal gradient algorithm is developed, and it is shown that this method gives a faster rate of convergence. An adaptive version of this approach is also discussed. Simulation results and an analysis of a cardiovascular microarray confirm its performance and usefulness.

• 出版日期2016-1