Clusterpath Gaussian Graphical Modeling

TL;DR

The paper introduces the Clusterpath estimator for Gaussian Graphical Models, which promotes variable clustering and block-structured precision matrices, improving interpretability and estimation accuracy in high-dimensional settings.

Contribution

It proposes a convex optimization-based clustering method for Gaussian Graphical Models that is computationally efficient and enhances interpretability through block-structured precision matrices.

Findings

CGGM often outperforms existing clustering methods in simulations.

The method effectively recovers true variable clusters in empirical data.

CGGM demonstrates practical advantages across diverse applications.

Abstract

Graphical models serve as effective tools for visualizing conditional dependencies between variables. However, as the number of variables grows, interpretation becomes increasingly difficult, and estimation uncertainty increases due to the large number of parameters relative to the number of observations. To address these challenges, we introduce the Clusterpath estimator of the Gaussian Graphical Model (CGGM) that encourages variable clustering in the graphical model in a data-driven way. Through the use of an aggregation penalty, we group variables together, which in turn results in a block-structured precision matrix whose block structure remains preserved in the covariance matrix. The CGGM estimator is formulated as the solution to a convex optimization problem, making it easy to incorporate other popular penalization schemes which we illustrate through the combination of an aggregation and sparsity penalty. We present a computationally efficient implementation of the CGGM estimator by using a cyclic block coordinate descent algorithm. In simulations, we show that CGGM not only matches, but oftentimes outperforms other state-of-the-art methods for variable clustering in graphical models. We also demonstrate CGGM's practical advantages and versatility on a diverse collection of empirical applications.