Non-asymptotic Estimation of Sparse Partial Correlation via Joint Partial Regression

Abstract

Partial correlation analysis is widely used in modern multivariate analysis. However, prior methods lack non-asymptotic guarantees and have slow asymptotic estimation rates. We present a method for simultaneously estimating sparse high-dimensional partial correlation matrices and inverse covariance with non-asymptotic rates. The method is a two-stage estimation which exploits the connection between the inverse covariance matrix and linear regression estimation method while enforcing positive semi-definiteness simultaneously. An efficient proximal splitting algorithm for numerically computing the estimate is also derived, and we provide a fast implementation of the algorithm. The effectiveness of the proposed method is demonstrated on both synthetic and real-world data.