Tensor Graphical Model: Non-convex Optimization and Statistical Inference
This work addresses a critical problem in statistical modeling for high-dimensional tensor data, such as in neuroimaging and advertising analysis, offering new methods for estimation and inference with theoretical guarantees.
The paper tackles the challenge of estimating and performing statistical inference on graphical models for high-dimensional tensor-valued data, which involves non-convex optimization, by proving that an alternating minimization algorithm achieves optimal statistical convergence rates and proposing a de-biased inference procedure with false discovery rate control, supported by numerical studies and real applications.
We consider the estimation and inference of graphical models that characterize the dependency structure of high-dimensional tensor-valued data. To facilitate the estimation of the precision matrix corresponding to each way of the tensor, we assume the data follow a tensor normal distribution whose covariance has a Kronecker product structure. A critical challenge in the estimation and inference of this model is the fact that its penalized maximum likelihood estimation involves minimizing a non-convex objective function. To address it, this paper makes two contributions: (i) In spite of the non-convexity of this estimation problem, we prove that an alternating minimization algorithm, which iteratively estimates each sparse precision matrix while fixing the others, attains an estimator with an optimal statistical rate of convergence. (ii) We propose a de-biased statistical inference procedure for testing hypotheses on the true support of the sparse precision matrices, and employ it for testing a growing number of hypothesis with false discovery rate (FDR) control. The asymptotic normality of our test statistic and the consistency of FDR control procedure are established. Our theoretical results are backed up by thorough numerical studies and our real applications on neuroimaging studies of Autism spectrum disorder and users' advertising click analysis bring new scientific findings and business insights. The proposed methods are encoded into a publicly available R package Tlasso.