On the precision matrix in semi-high-dimensional settings

Kentaro Hayashi, Ke Hai Yuan, Ge Jiang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Many aspects of multivariate analysis involve obtaining the precision matrix, i.e., the inverse of the covariance matrix. When the dimension is larger than the sample size, the sample covariance matrix is no longer positive definite, and the inverse does not exist. Under the sparsity assumption on the elements of the precision matrix, the problem can be solved by fitting a Gaussian graphical model with lasso penalty. However, in high-dimensional settings in behavioral sciences, the sparsity assumption does not necessarily hold. The dimensions are often greater than the sample sizes, while they are likely to be comparable in size. Under such circumstances, introducing some covariance structures might solve the issue of estimating the precision matrix. Factor analysis is employed for modeling the covariance structure and the Woodbury identity to find the precision matrix. Different methods are compared such as unweighted least squares and factor analysis with equal unique variances (i.e., the probabilistic principal component analysis), as well as ridge factor analysis with small ridge parameters. Results indicate that they all give relatively small mean squared errors even when the dimensions are larger than the sample size.

Original languageEnglish (US)
Title of host publicationQuantitative Psychology - 84th Annual Meeting of the Psychometric Society, IMPS 2019
EditorsMarie Wiberg, Dylan Molenaar, Jorge González, Ulf Böckenholt, Jee-Seon Kim
PublisherSpringer
Pages185-200
Number of pages16
ISBN (Print)9783030434687
DOIs
StatePublished - 2020
Event84th Annual Meeting of the Psychometric Society, IMPS 2019 - Santiago, Chile
Duration: Jul 15 2019Jul 19 2019

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume322
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Conference84th Annual Meeting of the Psychometric Society, IMPS 2019
CountryChile
CitySantiago
Period7/15/197/19/19

Keywords

  • Factor analysis
  • Graphical lasso
  • Inverse covariance matrix
  • Probabilistic principal component analysis
  • Woodbury identity

ASJC Scopus subject areas

  • Mathematics(all)

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