Abstract
In this paper, we propose a novel Bayesian group regularization method based on the spike and slab Lasso priors for jointly estimating multiple graphical models. The proposed method can be used to estimate common sparsity structure underlying the graphical models while capturing potential heterogeneity of the precision matrices corresponding to those models. Our theoretical results show that the proposed method enjoys the optimal rate of convergence in `8 norm for estimation consistency and has a strong structure recovery guarantee even when the signal strengths over different graphs are heterogeneous. Through simulation studies and an application to the capital bike-sharing network data, we demonstrate the competitive performance of our method compared to existing alternatives.
Original language | English (US) |
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Journal | Advances in Neural Information Processing Systems |
Volume | 32 |
State | Published - 2019 |
Event | 33rd Annual Conference on Neural Information Processing Systems, NeurIPS 2019 - Vancouver, Canada Duration: Dec 8 2019 → Dec 14 2019 |
ASJC Scopus subject areas
- Computer Networks and Communications
- Information Systems
- Signal Processing