Partial Correlation Screening for Estimating Large Precision Matrices, with Applications to Classification By

Given n samples X1,X2, . . . ,Xn from N(0, ), we are interested in estimating the p×p precision matrix = −1; we assume is sparse in that each row has relatively few nonzeros. We propose Partial Correlation Screening (PCS) as a new row-by-row approach. To estimate the ith row of , 1 ≤ i ≤ p, PCS uses a Screen step and a Clean step. In the Screen step, PCS recruits a (small) subset of indices using a stage-wise algorithm, where in each stage, the algorithm updates the set of recruited indices by adding the index j that has the largest empirical partial correlation (in magnitude) with i, given the set of indices recruited so far. In the Clean step, PCS reinvestigates all recruited indices, removes false positives and uses the resultant set of indices to reconstruct the ith row. PCS is computationally efficient and modest in memory use: to estimate a row of , it only needs a few rows (determined sequentially) of the empirical covariance matrix. PCS is able to execute an estimation of a large (e.g., p = 10K) in a few minutes. Higher Criticism Thresholding (HCT) is a recent classifier that enjoys optimality, but to exploit its full potential, we need a good estimate of . Note