Covariance estimation in decomposable Gaussian graphical models

TL;DR

This paper develops and analyzes the minimum variance unbiased estimator (MVUE) for covariance matrices in decomposable Gaussian graphical models, demonstrating its superiority over traditional methods through theoretical and practical improvements.

Contribution

It derives a closed-form MVUE for decomposable Gaussian graphical models and extends Stein's unbiased risk estimate to these models, enabling improved covariance estimation.

Findings

MVUE outperforms MLE in MSE performance

Extension of SURE to graphical models for estimator evaluation

Proposed estimators have simple closed-form solutions with lower MSE

Abstract

Graphical models are a framework for representing and exploiting prior conditional independence structures within distributions using graphs. In the Gaussian case, these models are directly related to the sparsity of the inverse covariance (concentration) matrix and allow for improved covariance estimation with lower computational complexity. We consider concentration estimation with the mean-squared error (MSE) as the objective, in a special type of model known as decomposable. This model includes, for example, the well known banded structure and other cases encountered in practice. Our first contribution is the derivation and analysis of the minimum variance unbiased estimator (MVUE) in decomposable graphical models. We provide a simple closed form solution to the MVUE and compare it with the classical maximum likelihood estimator (MLE) in terms of performance and complexity. Next, we extend the celebrated Stein's unbiased risk estimate (SURE) to graphical models. Using SURE, we prove that the MSE of the MVUE is always smaller or equal to that of the biased MLE, and that the MVUE itself is dominated by other approaches. In addition, we propose the use of SURE as a constructive mechanism for deriving new covariance estimators. Similarly to the classical MLE, all of our proposed estimators have simple closed form solutions but result in a significant reduction in MSE.