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# Partial Correlation Estimation by Joint Sparse Regression Models

^{†}Department of Statistics, University of California, Davis, CA 95616.

^{‡}Division of Public Health Science, Fred Hutchinson Cancer Research Center, Seattle, WA 98109.

^{§}Department of Statistics, University of Michigan, Ann Arbor, MI 48109.

^{*}Equal contributors

## Abstract

In this paper, we propose a computationally efficient approach —`space`(Sparse PArtial Correlation Estimation)— for selecting non-zero partial correlations under the high-dimension-low-sample-size setting. This method assumes the overall sparsity of the partial correlation matrix and employs sparse regression techniques for model fitting. We illustrate the performance of `space` by extensive simulation studies. It is shown that `space` performs well in both non-zero partial correlation selection and the identification of hub variables, and also outperforms two existing methods. We then apply `space` to a microarray breast cancer data set and identify a set of *hub genes* which may provide important insights on genetic regulatory networks. Finally, we prove that, under a set of suitable assumptions, the proposed procedure is asymptotically consistent in terms of model selection and parameter estimation.

**Keywords:**concentration network, high-dimension-low-sample-size,

`lasso`,

`shooting`, genetic regulatory network

## 1 INTRODUCTION

There has been a large amount of literature on *covariance selection*: the identification and estimation of non-zero entries in the inverse covariance matrix (a.k.a. *concentration matrix* or *precision matrix*) starting from the seminal paper by Dempster (1972). Covariance selection is very useful in elucidating associations among a set of random variables, as it is well known that non-zero entries of the concentration matrix correspond to non-zero partial correlations. Moreover, under Gaussianity, non-zero entries of the concentration matrix imply conditional dependency between corresponding variable pairs conditional on the rest of the variables (Edward 2000). Traditional methods does not work unless the sample size (*n*) is larger than the number of variables (*p*) (Whittaker 1990; Edward 2000). Recently, a number of methods have been introduced to perform covariance selection for data sets with *p* > *n*, for example, see Meinshausen and Buhlmann (2006), Yuan and Lin (2007), Li and Gui (2006), Schafer and Strimmer (2005).

In this paper, we propose a novel approach using sparse regression techniques for covariance selection. Our work is partly motivated by the construction of *genetic regulatory networks (GRN)* based on high dimensional gene expression data. Denote the expression levels of *p* genes as *y*_{1}, · · · , *y _{p}*. A

*concentration network*is defined as an undirected graph, in which the

*p*vertices represent the

*p*genes and an edge connects gene

*i*and gene

*j*if and only if the partial correlation

*ρ*between

^{ij}*y*and

_{i}*y*is non-zero. Note that, under the assumption that

_{j}*y*

_{1}, · · · ,

*y*are jointly normal, the partial correlation

_{p}*ρ*equals to Corr(

^{ij}*y*,

_{i}*y*

_{j}|y_{−}_{(i,j)}), where

*y*

_{−}_{(i,j)}= {

*y*: 1

_{k}*≤ k*≠

*i, j ≤ p*}. Therefore,

*ρ*being nonzero is equivalent to

^{ij}*y*and

_{i}*y*being conditionally dependent given all other variables

_{j}*y*

_{−}_{(i,j)}. The proposed method is specifically designed for the high-dimension-low-sample-size scenario. It relies on the assumption that the partial correlation matrix is sparse (under normality assumption, this means that most variable pairs are conditionally independent), which is reasonable for many real life problems. For instance, it has been shown that most genetic networks are intrinsically sparse (Gardner et al. 2003; Jeong et al. 2001; Tegner et al. 2003). The proposed method is also particularly powerful in the identification of

*hubs*: vertices (variables) that are connected to (have nonzero partial correlations with) many other vertices (variables). The existence of hubs is a well known phenomenon for many large networks, such as the internet, citation networks, and protein interaction networks (Newman 2003). In particular, it is widely believed that genetic pathways consist of many genes with few interactions and a few hub genes with many interactions (Barabasi and Oltvai 2004).

Another contribution of this paper is to propose a novel algorithm `active-shooting` for solving penalized optimization problems such as `lasso` (Tibshirani 1996). This algorithm is computationally more efficient than the original `shooting` algorithm, which was first proposed by Fu (1998) and then extended by many others including Genkin et al. (2007) and Friedman et al. (2007a). It enables us to implement the proposed procedure efficiently, such that we can conduct extensive simulation studies involving ~ 1000 variables and hundreds of samples. To our knowledge, this is the first set of intensive simulation studies for covariance selection with such high dimensions.

A few methods have also been proposed recently to perform covariance selection in the context of *p* *n*. Similar to the method proposed in this paper, they all assume sparsity of the partial correlation matrix. Meinshausen and Buhlmann (2006) introduced a variable-by-variable approach for neighborhood selection via the `lasso` regression. They proved that neighborhoods can be consistently selected under a set of suitable assumptions. However, as regression models are fitted for each variable separately, this method has two major limitations. First, it does not take into account the intrinsic symmetry of the problem (i.e., *ρ ^{ij}* =

*ρ*). This could result in loss of efficiency, as well as contradictory neighborhoods. Secondly, if the same penalty parameter is used for all

^{ji}*p*

`lasso`regressions as suggested by their paper, more or less equal effort is placed on building each neighborhood. This apparently is not the most efficient way to address the problem, unless the degree distribution of the network is nearly uniform. However, most real life networks have skewed degree distributions, such as the

*power-law networks*. As observed by Schafer and Strimmer (2005), the neighborhood selection approach limits the number of edges connecting to each node. Therefore, it is not very effective in hub detection. On the contrary, the proposed method is based on a joint sparse regression model, which simultaneously performs neighborhood selection for all variables. It also preserves the symmetry of the problem and thus utilizes data more efficiently. We show by intensive simulation studies that our method performs better in both model selection and hub identification. Moreover, as a joint model is used, it is easier to incorporate prior knowledge such as network topology into the model. This is discussed in Section 2.1.

Besides the regression approach mentioned above, another class of methods employ the maximum likelihood framework. Yuan and Lin (2007) proposed a penalized maximum likelihood approach which performs model selection and estimation simultaneously and ensures the positive definiteness of the estimated concentration matrix. However, their algorithm can not handle high dimensional data. The largest dimension considered by them is *p* = 10 in simulation and *p* = 5 in real data. Friedman et al. (2007b) proposed an efficient algorithm `glasso` to implement this method, such that it can be applied to problems with high dimensions. We show by simulation studies that, the proposed method performs better than `glasso` in both model selection and hub identification. Rothman et al (2008) proposed another algorithm to implement the method of Yuan and Lin (2007). The computational cost is on the same order of `glasso`, but in general not as efficient as `glasso`. Li and Gui (2006) introduced a threshold gradient descent (TGD) regularization procedure. Schafer and Strimmer (2005) proposed a shrinkage covariance estimation procedure to overcome the ill-conditioned problem of sample covariance matrix when *p* > *n*. There are also a large class of methods covering the situation where variables have a natural ordering, e.g., longitudinal data, time series, spatial data, or spectroscopy. See Wu and Pourahmadi (2003), Bickel and Levina (2008), Huang et al. (2006) and Levina et al (2008), which are all based on the modified Cholesky decomposition of the concentration matrix. In this paper, we, however, focus on the general case where an ordering of the variables is not available.

The rest of the paper is organized as follows. In Section 2, we describe the joint sparse regression model, its implementation and the `active-shooting` algorithm. In Section 3, the performance of the proposed method is illustrated through simulation studies and compared with that of the neighborhood selection approach and the likelihood based approach `glasso`. In Section 4, the proposed method is applied to a microarray expression data set of *n* = 244 breast cancer tumor samples and *p* = 1217 genes. In Section 5, we study the asymptotic properties of this procedure. A summary of the main results are given in Section 6. Technique details are provided in the Supplemental Material.

## 2 METHOD

### 2.1 Model

In this section, we describe a novel method for detecting pairs of variables having nonzero partial correlations among a large number of random variables based on i.i.d. samples. Suppose that, (*y*_{1}, · · · , *y _{p}*)

*has a joint distribution with mean 0 and covariance*

^{T}**Σ**, where

**Σ**is a

*p*by

*p*positive definite matrix. Denote the partial correlation between

*y*and

_{i}*y*by

_{j}*ρ*(1 ≤

^{ij}*i*<

*j*≤

*p*). It is defined as Corr(

*ε*,

_{i}*ε*), where

_{j}*ε*and

_{i}*ε*are the prediction errors of the best linear predictors of

_{j}*y*and

_{i}*y*based on

_{j}*y*

_{−}_{(i,j)}= {

*y*: 1 ≤

_{k}*k*≠

*i, j ≤ p*}, respectively. Denote the

*concentration matrix*Σ

^{−1}by (

*σ*. It is known that, ${\rho}^{ij}=-{\scriptstyle \frac{{\sigma}^{ij}}{\sqrt{{\sigma}^{ii}{\sigma}^{jj}}}}$. Let

^{ij})_{p×p}*y*:= {

_{−i}*y*: 1 ≤

_{k}*k*≠

*i*≤

*p*}. The following well-known result (Lemma 1) relates the estimation of partial correlations to a regression problem.

#### Lemma 1

*For* 1 ≤ *i* ≤ *p, y _{i} is expressed as* ${y}_{i}={\sum}_{j\ne i}{\beta}_{ij}{y}_{j}+{\u220a}_{i}$,

*such that*ε

_{i},

*is uncorrelated with*y

_{−i}

*if and only if*${\beta}_{ij}=-{\scriptstyle \frac{{\sigma}^{ij}}{{\sigma}^{ii}}}={\rho}^{ij}\sqrt{{\scriptstyle \frac{{\sigma}^{jj}}{{\sigma}^{ii}}}}$.

*Moreover, for such defined β*, $\mathrm{Var}\left({\u220a}_{i}\right)={\scriptstyle \frac{1}{{\sigma}^{ii}}}$, $\mathrm{Cov}({\u220a}_{i},{\u220a}_{j})={\scriptstyle \frac{{\sigma}_{ij}}{{\sigma}^{ii}{\sigma}^{jj}}}$.

_{ij}Note that, under the normality assumption, *ρ ^{ij}* = Corr(

*y*|

_{i}, y_{j}*y*

_{−(i,j)}) and in Lemma 1, we can replace “uncorrelated” with “independent”. Since ${\rho}^{ij}=\mathrm{sign}\left({\beta}_{ij}\right)\sqrt{{\beta}_{ij}{\beta}_{ji}}$, the search for non-zero partial correlations can be viewed as a model selection problem under the regression setting. In this paper, we are mainly interested in the case where the dimension

*p*is larger than the sample size

*n*. This is a typical scenario for many real life problems. For example, high throughput genomic experiments usually result in data sets of thousands of genes for tens or at most hundreds of samples. However, many high-dimensional problems are intrinsically sparse. In the case of genetic regulatory networks, it is widely believed that most gene pairs are not directly interacting with each other. Sparsity suggests that even if the number of variables is much larger than the sample size, the effective dimensionality of the problem might still be within a tractable range. Therefore, we propose to employ sparse regression techniques by imposing the ${\ell}_{1}$ penalty on a suitable loss function to tackle the high-dimension-low-sample-size problem.

Suppose ${\mathbf{Y}}^{k}={({y}_{1}^{k},\cdots ,{y}_{p}^{k})}^{T}$ are i.i.d. observations from (0, **Σ**), for *k* = 1, · · · , *n*. Denote the sample of the *i*th variable as ${\mathbf{Y}}_{i}={({y}_{i}^{1},\cdots ,{y}_{i}^{n})}^{T}$. Based on Lemma 1, we propose the following joint loss function

where *θ* = (*ρ*^{12}, …, *ρ*^{(p−1)p})^{T}, $\sigma ={\left\{{\sigma}^{ii}\right\}}_{i=1}^{p}$; $\mathbf{Y}={\left\{{\mathbf{Y}}^{k}\right\}}_{k=1}^{n}$; and $w={\left\{{w}_{i}\right\}}_{i=1}^{p}$ are nonnegative weights. For example, we can choose *w _{i}* = 1/Var(

*ε*) =

_{i}*σ*to weigh individual regressions in the joint loss function according to their residual variances, as is done in regression with heteroscedastic noise. We propose to estimate the partial correlations

^{ii}*θ*by minimizing a penalized loss function

where the penalty term $\mathcal{J}\left(\theta \right)$ controls the overall sparsity of the final estimation of *θ*. In this paper, we focus on the ${\ell}_{1}$ penalty (Tibshirani 1996):

The proposed joint method is referred to as `space` (Sparse PArtial Correlation Estimation) hereafter. It is related to the *neighborhood selection approach* by Meinshausen and Buhlmann (2006) (referred to as `MB` hereafter), where a `lasso` regression is performed separately for each variable on the rest of the variables. However, `space` has several important advantages.

- In
`space`, sparsity is utilized for the partial correlations*θ*as a whole view. However, in the neighborhood selection approach, sparsity is imposed on each neighborhood. The former treatment is more natural and utilizes the data more efficiently, especially for networks with hubs. A prominent example is the genetic regulatory network, where master regulators are believed to exist and are of great interest. - According to Lemma 1,
*β*and_{ij}*β*have the same sign. The proposed method assures this sign consistency as it estimates {_{ji}*ρ*} directly. However, when fitting^{ij}*p*separate (`lasso`) regressions, it is possible that $\mathrm{sign}\left({\widehat{\beta}}_{ij}\right)$ is different from $\mathrm{sign}\left({\widehat{\beta}}_{ji}\right)$, which may lead to contradictory neighborhoods. - Furthermore, the utility of the symmetric nature of the problem allows us to reduce the number of unknown parameters in the model by almost half (
*p*(*p*+ 1)/2 for`space`vs. (*p*− 1)^{2}for`MB`), and thus improves the efficiency. - Finally, prior knowledge of the network structure are often available. The joint model is more flexible in incorporating such prior knowledge. For example, we may assign different weights
*w*to different nodes according to their “importance”. We have already discussed the residual variance weights, where_{i}*w*=_{i}*σ*. We can also consider the weight that is proportional to the (estimated) degree of each variable, i.e., the estimated number of edges connecting with each node in the network. This would result in a preferential attachment effect which explains the cumulative advantage phenomena observed in many real life networks including GRNs (Barabasi and Albert 1999).^{ii}

These advantages help enhance the performance of `space`. As illustrated by the simulation study in Section 3, the proposed joint method performs better than the neighborhood selection approach in both non-zero partial correlation selection and hub detection.

As compared to the penalized maximum likelihood approach `glasso` (Friedman et al. 2007b), the simulation study in Section 3 shows that `space` also outperforms `glasso` in both edge detection and hub identification under all settings that we have considered. In addition, `space` has the following advantages.

- The complexity of
`glasso`is*O*(*p*^{3}), while as discussed in Section 2.2, the`space`algorithm has the complexity of min(*O*(*np*^{2}),*O*(*p*^{3})), which is much faster than the algorithm of Yuan and Lin (2007) and in general should also be faster than`glasso`when*n*<*p*, which is the case in many real studies. - As discussed in Section 6,
`space`allows for trivial generalizations to other penalties of the form of |*ρ*|^{ij}rather than simply |^{q}*ρ*|, which includes ridge and bridge (Fu 1998) or other more complicated penalties like SCAD (Fan and Li 2001). The^{ij}`glasso`algorithm, on the other hand, is tied to the`lasso`formulation and cannot be extended to other penalties in a natural manner. - In Section 5, we prove that our method consistently identifies the correct network neighborhood when
*both n and p*go to ∞. As far as we are aware, no such theoretical results have been developed for the penalized maximum likelihood approach.

Note that, in the penalized loss function (2), *σ* needs to be specified. We propose to estimate *θ* and *σ* by a two-step iterative procedure. Given an initial estimate *σ*^{(0)} of *σ*, *θ* is estimated by minimizing the penalized loss function (2), whose implementation is discussed in Section 2.2. Then given the current estimates *θ*^{(c)} and *σ*^{(c)}, *σ* is updated based on Lemma 1: $1\u2215{\widehat{\sigma}}^{ii}={\scriptstyle \frac{1}{n}}{\Vert {\mathbf{Y}}_{i}-{\sum}_{j\ne i}{\widehat{\beta}}_{ij}^{\left(c\right)}{\mathbf{Y}}_{j}\Vert}^{2}$, where ${\widehat{\beta}}_{ij}^{\left(c\right)}={\left({\rho}^{ij}\right)}^{\left(c\right)}\sqrt{{\scriptstyle \frac{{\left({\sigma}^{jj}\right)}^{\left(c\right)}}{{\left({\sigma}^{ii}\right)}^{\left(c\right)}}}}$. We then iterate between these two steps until convergence. Since 1/*σ ^{ii}* ≤ Var(

*y*) =

_{i}*σ*, we can use $1\u2215{\widehat{\sigma}}_{ii}$ as the initial estimate of

_{ii}*σ*, where ${\widehat{\sigma}}_{ii}={\scriptstyle \frac{1}{n-1}}{\sum}_{k=1}^{n}{({y}_{i}^{k}-{\stackrel{\u2012}{y}}_{i})}^{2}$ is the sample variance of

^{ii}*y*. Our simulation study shows that, it usually takes no more than three iterations for this procedure to stabilize.

_{i}### 2.2 Implementation

In this section, we discuss the implementation of the `space` procedure: that is, minimizing (2) under the ${\ell}_{1}$ penalty (3). We first re-formulate the problem, such that the loss function (1) corresponds to the ${\ell}_{2}$ loss of a “regression problem.” We then use the `active-shooting` algorithm proposed in Section 2.3 to solve this `lasso` regression problem efficiently.

Given *σ* and positive weights *w*, let $\mathcal{Y}={({\stackrel{~}{\mathbf{Y}}}_{1}^{T},\dots ,{\stackrel{~}{\mathbf{Y}}}_{p}^{T})}^{T}$ be a *np* × 1 column vector, where ${\stackrel{~}{\mathbf{Y}}}_{i}=\sqrt{{w}_{i}}{\mathbf{Y}}_{i}(i=1,\cdots ,p)$; and let $\mathcal{X}=({\stackrel{~}{\mathcal{X}}}_{(1,2)},\cdots ,{\stackrel{~}{\mathcal{X}}}_{(p-1,p)})$ be a *np* by *p*(*p* − 1)/2 matrix, with

where ${\stackrel{~}{\sigma}}^{ii}={\sigma}^{ii}\u2215{w}_{i}\phantom{\rule{thickmathspace}{0ex}}(i=1,\cdots ,p)$. Then it is easy to see that the loss function (1) equals to ${\scriptstyle \frac{1}{2}}{\Vert \mathcal{Y}-\mathcal{X}\theta \Vert}_{2}^{2}$, and the corresponding ${\ell}_{1}$ minimization problem is equivalent to: ${\mathrm{min}}_{\theta}\phantom{\rule{thickmathspace}{0ex}}{\scriptstyle \frac{1}{2}}{\Vert \mathcal{Y}-\mathcal{X}\theta \Vert}_{2}^{2}+\lambda {\Vert \theta \Vert}_{1}$. Note that, the current dimension ñ = *np* and = *p*(*p* − 1)/2 are of a much higher order than the original *n* and *p*. This could cause serious computational problems. Fortunately, $\mathcal{X}$ is a block matrix with many zero blocks. Thus, algorithms for `lasso` regressions can be efficiently implemented by taking into consideration this structure (see the Supplemental Material for the detailed implementation). To further decrease the computational cost, we develop a new algorithm `active-shooting` (Section 2.3) for the `space` model fitting. `Active-shooting` is a modification of the `shooting` algorithm, which was first proposed by Fu (1998) and then extended by many others including Genkin et al. (2007) and Friedman et al. (2007a). `Active-shooting` exploits the sparse nature of sparse penalization problems in a more efficient way, and is therefore computationally much faster. This is crucial for applying `space` for large *p* and/or *n*. It can be shown that the computational cost of `space` is min(*O*(*np*^{2}), *O*(*p*^{3})), which is the same as applying *p* individual `lasso` regressions as in the neighborhood selection approach. We want to point out that, the proposed method can also be implemented by `lars` (Efron et al. 2004). However, unless the exact whole solution path is needed, compared with `shooting` type algorithms, `lars` is computationally less appealing (Friedman et al. 2007a). (Remark by the authors: after this paper was submitted, recently the `active-shooting` idea was also proposed by Friedman et al. (2008).)

Finally, note that the concentration matrix should be positive definite. In principle, the proposed method (or more generally, the regression based methods) does not guarantee the positive definiteness of the resulting estimator, while the likelihood based method by Yuan and Lin (2007) and Friedman et al. (2007b) assures the positive definiteness. While admitting that this is one limitation of the proposed method, we argue that, since we are more interested in model selection than parameter estimation in this paper, we are less concerned with this issue. Moreover, in Section 5, we show that the proposed estimator is consistent under a set of suitable assumptions. Therefore, it is asymptotically positive definite. Indeed, the `space` estimators are rarely non-positive-definite under the high dimensional sparse settings that we are interested in. More discussions on this issue can be found in Section 3.

### 2.3 Active Shooting

In this section, we propose a computationally very efficient algorithm `active-shooting` for solving `lasso` regression problems. `Active-shooting` is motivated by the `shooting` algorithm (Fu 1998), which solves the `lasso` regression by updating each coordinate it-eratively until convergence. `Shooting` is computationally very competitive compared with the well known `lars` procedure (Efron et al. 2004). Suppose that we want to minimize an ${\ell}_{1}$ penalized loss function with respect to *β*

where **Y** = (*y*_{1}, · · · , *y _{n}*)

*,*

^{T}**X**= (

*x*)

_{ij}_{n×p}= (

**X**

_{1}: · · · :

**X**

*) and*

_{p}*β*= (

*β*)

_{1}, · · · β_{p}*. The*

^{T}`shooting`algorithm proceeds as follows:

- Initial step: for
*j*= 1, · · · ,*p*,where ($$\begin{array}{cc}\hfill {\beta}_{j}^{\left(0\right)}& ={\text{arg min}}_{{\beta}_{j}}\{\frac{1}{2}{\mid \mid \mathbf{Y}-{\beta}_{j}{\mathbf{X}}_{j}\mid \mid}^{2}+\gamma \mid {\beta}_{j}\mid \}\hfill \\ \hfill & =\text{sign}\left({\mathbf{Y}}^{T}{\mathbf{X}}_{j}\right)\frac{(\mid {\mathbf{Y}}^{T}{\mathbf{X}}_{j}\mid -\gamma )+}{{\mathbf{X}}_{j}^{T}{\mathbf{X}}_{j}},\hfill \end{array}$$(4)*x*)_{+}=*xI*_{(x>0)}. - For
*j*= 1, ...,*p*, update*β*^{(old)}→*β*^{(new)}:where$$\begin{array}{cc}\hfill {\beta}_{i}^{\left(new\right)}& ={\beta}_{i}^{\left(old\right)},i\ne j;\hfill \\ \hfill {\beta}_{j}^{\left(new\right)}& ={\text{arg min}}_{{\beta}_{j}}\frac{1}{2}{\Vert \mathbf{Y}-\sum _{i\ne j}{\beta}_{i}^{\left(old\right)}{\mathbf{X}}_{i}-{\beta}_{j}{\mathbf{X}}_{j}\Vert}^{2}+\gamma \mid {\beta}_{j}\mid \hfill \\ \hfill & =\text{sign}\left(\frac{{\left({\u220a}^{\left(old\right)}\right)}^{T}{\mathbf{X}}_{j}}{{\mathbf{X}}_{j}^{T}{\mathbf{X}}_{j}}+{\beta}_{j}^{\left(old\right)}\right){\left(\mid \frac{{\left({\u220a}^{\left(old\right)}\right)}^{T}{\mathbf{X}}_{j}}{{\mathbf{X}}_{j}^{T}{\mathbf{X}}_{j}}+{\beta}_{j}^{\left(old\right)}\mid -\frac{\gamma}{{\mathbf{X}}_{j}^{T}{\mathbf{X}}_{j}}\right)}_{+},\hfill \end{array}$$(5)*ε*^{(old)}=**Y**–**X***β*^{(old)}. - Repeat step 2 until convergence.

At each updating step of the `shooting` algorithm, we define the set of currently non-zero coefficients as the *active set*. Since under sparse models, the active set should remain small, we propose to first update the coefficients within the active set until convergence is achieved before moving on to update other coefficients. The `active-shooting` algorithm proceeds as follows:

- Initial step: same as the initial step of
`shooting`. - Define the current active set Λ = {
*k*: current*β*≠ 0}._{k}- (2.1) For each
*k*Λ, update*β*with all other coefficients fixed at the current value as in equation (5);_{k} - (2.2) Repeat (2.1) until convergence is achieved on the active set.

- For
*j*= 1 to*p*, update*β*with all other coefficients fixed at the current value as in equation (5). If no_{j}*β*changes during this process, return the current_{j}*β*as the final estimate. Otherwise, go back to step 2.

The idea of `active-shooting` is to focus on the set of variables that is more likely to be in the model, and thus it improves the computational efficiency by achieving a faster convergence. We illustrate the improvement of the `active-shooting` over the `shooting` algorithm by a small simulation study of the `lasso` regression (generated in the same way as in Section 5.1 of Friedman et al. (2007a)). The two algorithms result in exact same solutions. However, as can be seen from Table 1, `active-shooting` takes much fewer iterations to converge (where one iteration is counted whenever an attempt to update a *β _{j}* is made). In particular, it takes less than 30 seconds (on average) to fit the

`space`model by

`active-shooting`(implemented in c code) for cases with 1000 variables, 200 samples and when the resulting model has around 1000 non-zero partial correlations on a server with dual core 3GHz processor and 4GB RAM. This great computational advantage enables us to conduct large scale simulation studies to examine the performance of the proposed method (Section 3).

### 2.4 Tuning

The choice of the tuning parameter *λ* is of great importance. Since the `space` method uses a `lasso` criterion, methods that have been developed for selecting the tuning parameter for `lasso` can also be applied to `space`, such as the GCV in Tibshirani (1996), the CV in Fan and Li (2001), the AIC in Buhlmann (2006) and the BIC in Zou et al. (2007). Several methods have also been proposed for selecting the tuning parameter in the setting of covariance estimation, for example, the MSE based criterion in Schafer and Strimmer (2005), the likelihood based method in Huang et al. (2006) and the cross-validation and bootstrap methods in Li and Gui (2006). In this paper, we propose to use a “BIC-type” criterion for selecting the tuning parameter mainly due to its simplicity and computational easiness. For a given *λ*, denote the `space` estimator by ${\widehat{\theta}}_{\lambda}=\{{\widehat{\rho}}_{\lambda}^{ij}:1\le i<j\le p\}$ and ${\widehat{\sigma}}_{\lambda}=\{{\widehat{\sigma}}_{\lambda}^{ii}:1\le i\le p\}$. The corresponding residual sum of squares for the *i*-th regression: ${y}_{i}={\sum}_{j\ne i}{\beta}_{ij}{y}_{j}+{\u220a}_{i}$ is

We then define a “BIC-type” criterion for the *i*-th regression as

Finally, we define $BIC\left(\lambda \right)\u2254{\sum}_{i=1}^{p}\phantom{\rule{thickmathspace}{0ex}}BI{C}_{i}\left(\lambda \right)$ and select *λ* by minimizing *BIC*(*λ*). This method is referred to as `space`. joint hereafter.

In Yuan and Lin (2007), a BIC criterion is proposed for the penalized maximum likelihood approach. Namely

where **S** is the sample covariance matrix, and ${\widehat{\Sigma}}_{\lambda}^{-1}=\left({\widehat{\sigma}}_{\lambda}^{ij}\right)$ is the estimator under *λ*. In this paper, we refer this method as `glasso.like`. For the purpose of comparison, we also consider the selection of the tuning parameter for `MB`. Since `MB` essentially performs *p* individual `lasso` regressions, the tuning parameter can be selected for each of them separately. Specifically, we use criterion (6) (evaluated at the corresponding `MB` estimators) to select the tuning parameter *λ _{i}* for the

*i*-th regression. We denote this method as

`MB.sep`. Alternatively, as suggested by Meinshausen and Buhlmann (2006), when all

*Y*are standardized to have sample standard deviation one, the same $\lambda \left(\alpha \right)=\sqrt{n}{\Phi}^{-1}(1-{\scriptstyle \frac{\alpha}{2{p}^{2}}})$ is applied to all regressions. Here, Φ is the standard normal c.d.f.;

_{i}*α*is used to control the false discovery rate and is usually taken as 0.05 or 0.1. We denote this method as

`MB.alpha`. These methods are examined by the simulation studies in the next section.

## 3 SIMULATION

In this section, we conduct a series of simulation experiments to examine the performance of the proposed method `space` and compare it with the neighborhood selection approach `MB` as well as the penalized likelihood method `glasso`. For all three methods, variables are first standardized to have sample mean zero and sample standard deviation one before model fitting. For `space`, we consider three different types of weights: (1) uniform weights: *w _{i}* = 1; (2) residual variance based weights: ${w}_{i}={\widehat{\sigma}}^{ii}$; and (3) degree based weights:

*w*is proportional to the estimated degree of

_{i}*y*, i.e., $\#\{j:{\widehat{\rho}}^{ij}\ne 0,j\ne i\}$. The corresponding methods are referred as

_{i}`space`,

`space.sw`and

`space.dew`, respectively. For all three

`space`methods, the initial value of

*σ*is set to be one. Iterations are used for these

^{ii}`space`methods as discussed in Section 2.1. For

`space.dew`and

`space.sw`, the initial weights are taken to be one (i.e., equal weights). In each subsequent iteration, new weights are calculated based on the estimated residual variances (for

`space.sw`) or the estimated degrees (for

`space.dew`) of the previous iteration. For all three

`space`methods, three iterations (that is updating between {

*σ*} and {

^{ii}*ρ*}) are used since the procedure converges very fast and more iterations result in essentially the same estimator. For

^{ij}`glasso`, the diagonal of the concentration matrix is not penalized.

We simulate networks consisting of disjointed modules. This is done because many real life large networks exhibit a modular structure comprised of many disjointed or loosely connected components of relatively small size. For example, experiments on model organisms like yeast or bacteria suggest that the transcriptional regulatory networks have modular structures (Lee et al. 2002). Each of our network modules is set to have 100 nodes and generated according to a given degree distribution, where the *degree* of a node is defined as the number of edges connecting to it. We mainly consider two different types of degree distributions and denote their corresponding networks by Hub network and Power-law network (details are given later). Given an undirected network with *p* nodes, the initial “concentration matrix” ${\left({\stackrel{~}{\sigma}}^{ij}\right)}_{p\times p}$ is generated by

We then rescale the non-zero elements in the above matrix to assure positive definiteness. Specifically, for each row, we first sum the absolute values of the off-diagonal entries, and then divide each off-diagonal entry by 1.5 fold of the sum. We then average this re-scaled matrix with its transpose to ensure symmetry. Finally the diagonal entries are all set to be one. This process results in diagonal dominance. Denote the final matrix as **A**. The covariance matrix **Σ** is then determined by

Finally, i.i.d. samples ${\left\{{\mathbf{Y}}^{k}\right\}}_{k=1}^{n}$ are generated from Normal(0, **Σ**). Note that, **Σ**(*i, i*) = 1, and **Σ**^{−1}(*i, i*) = *σ ^{ii}* ≥ 1.

### Hub networks

In the first set of simulations, module networks are generated by inserting a few hub nodes into a very sparse graph. Specifically, each module consists of three hubs with degrees around 15, and the other 97 nodes with degrees at most four. This setting is designed to mimic the genetic regulatory networks, in which there exist a few hub genes, and most other genes have only a few edges. A network consisting of five such modules is shown in Figure 1(a). In this network, there are *p* = 500 nodes and 568 edges. The simulated non-zero partial correlations fall in (−0.67, −0.1] [0.1, 0.67), with two modes around −0.28 and 0.28. Based on this network and the partial correlation matrix, we generate 50 independent data sets each consisting of *n* = 250 i.i.d. samples.

We then evaluate each method at a series of different values of the tuning parameter *λ*. The number of total detected edges (*N _{t}*) decreases as

*λ*increases. Figure 2(a) shows the number of correctly detected edges (

*N*) vs. the number of total detected edges (

_{c}*N*) averaged across the 50 independent data sets for each method. We observe that all three

_{t}`space`methods (

`space`,

`space.sw`and

`space.dew`) consistently detect more correct edges than the neighborhood selection method

`MB`(except for

`space.sw`when

*N*< 470) and the likelihood based method

_{t}`glasso`.

`MB`performs favorably over

`glasso`when

*N*is relatively small (say less than 530), but performs worse than

_{t}`glasso`when

*N*is large. Overall,

_{t}`space.dew`is the best among all methods. Specifically, when

*N*= 568 (which is the number of true edges),

_{t}`space.dew`detects 501 correct edges on average with a standard deviation 4.5 edges. The corresponding sensitivity and specificity are both 88%. Here sensitivity is defined as the ratio of the number of correctly detected edges to the total number of true edges; and specificity is defined as the ratio of the number of correctly detected edges to the number of total detected edges. On the other hand,

`MB`and

`glasso`detect 472 and 480 correct edges on average, respectively, when the number of total detected edges

*N*is 568.

_{t}In terms of hub detection, for a given *N _{t}*, a rank is assigned to each variable

*y*based on its estimated degree (the larger the estimated degree, the smaller the rank value). We then calculate the average rank of the 15 true hub nodes for each method. The results are shown in Figure 2(b). This average rank would achieve the minimum value 8 (indicated by the grey horizontal line), if the 15 true hubs have larger estimated degrees than all other non-hub nodes. As can be seen from the figure, the average rank curves (as a function of

_{i}*N*) for the three

_{t}`space`methods are very close to the optimal minimum value 8 for a large range of

*N*. This suggests that these methods can successfully identify most of the true hubs. Indeed, for

_{t}`space.dew`, when

*N*equals to the number of true edges (568), the top 15 nodes with the highest estimated degrees contain at least 14 out of the 15 true hub nodes in all replicates. On the other hand, both

_{t}`MB`and

`glasso`identify far fewer hub nodes, as their corresponding average rank curves are much higher than the grey horizontal line.

To investigate the impact of dimensionality *p* and sample size *n*, we perform simulation studies for a large *p* = 1000 and various sample sizes with *n* = 200, 300 and 500. The simulated network includes ten disjointed modules of size 100 each and has 1163 edges in total. Non-zero partial correlations form a similar distribution as that of the *p* = 500 network discussed above. The ROC curves for `space.dew`, `MB` and `glasso` resulted from these simulations are shown in Figure 3. When false discovery rate (=1-specificity) is controlled at 0.05, the power (=sensitivity) for detecting correct edges is given in Table 2. From the figure and the table, we observe that the sample size has a big impact on the performance of all methods. For *p* = 1000, when the sample size increases from 200 to 300, the power of `space.dew` increases more than 20%; when the sample size is 500, `space.dew` achieves an impressive power of 96%. On the other hand, the dimensionality seems to have relatively less influence. When the total number of variables is doubled from 500 to 1000, with only 20% more samples (that is *p* = 500, *n* = 250 vs. *p* = 1000, *n* = 300), all three methods achieve similar powers. This is presumably because the larger network (*p* = 1000) is sparser than the smaller network (*p* = 500) and also the complexity of the modules remains unchanged. Finally, it is obvious from Figure 3 that, `space.dew` performs best among the three methods.

`space.dew`,

`MB`and

`glasso`in identifying correct edges when FDR is controlled at 0.05.

We then investigate the performance of these methods at the selected tuning parameters (see Section 2.4 for details). For the above Hub network with *p* = 1000 nodes and *n* = 200, 300, 500, the results are reported in Table 3. As can be seen from the table, BIC based approaches tend to select large models (compared to the true model which has 1163 edges). `space.joint` and `MB.sep` perform similarly in terms of specificity, and `glasso.like` works considerably worse than the other two in this regard. On the other hand, `space.joint` and `glasso.like` performs similarly, and are better than `MB.sep` in terms of sensitivity. In contrast, `MB.alpha` selects very small models and thus results in very high specificity, but very low sensitivity. In terms of hub identification, `space.joint` apparently performs better than other methods (indicated by a smaller average rank over 30 true hub nodes). Moreover, the performances of all methods improve with sample size.

### Power-law networks

Many real world networks have a *power-law (also a.k.a scale-free)* degree distribution with an estimated power parameter *α* = 2 ~ 3 (Newman 2003). Thus, in the second set of simulations, the module networks are generated according to a power-law degree distribution with the power-law parameter *α* = 2.3, as this value is close to the estimated power parameters for biological networks (Newman 2003). Figure 1(b) illustrates a network formed by five such modules with each having 100 nodes. It can be seen that there are three obvious hub nodes in this network with degrees of at least 20. The simulated non-zero partial correlations fall in the range (−0.51, −0.08] [0.08, 0.51), with two modes around −0.22 and 0.22. Similar to the simulation done for Hub networks, we generate 50 independent data sets each consisting of *n* = 250 i.i.d. samples. We then compare the number of correctly detected edges by various methods. The result is shown in Figure 4. On average, when the number of total detected edges equals to the number of true edges which is 495, `space.dew` detects 406 correct edges, while `MB` detects only 378 and `glasso` detects only 381 edges. In terms of hub detection, all methods can correctly identify the three hub nodes for this network.

*x-axis*: the number of total detected edges;

*y-axis*: the number of correctly identified edges. The vertical grey line corresponds to the number of true edges.

These simulation results suggest that when the (concentration) networks are reasonably sparse, we should be able to characterize their structures with only a couple-of-hundreds of samples when there are a couple of thousands of nodes. In addition, `space.dew` outperforms `MB` by at least 6% on the power of edge detection under all simulation settings above when FDR is controlled at 0.05, and the improvements are even larger when FDR is controlled at a higher level say 0.1 (see Figure 3). Also, compared to `glasso`, the improvement of `space.dew` is at least 15% when FDR is controlled at 0.05, and the advantages become smaller when FDR is controlled at a higher level (see Figure 3). Moreover, the `space` methods perform much better in hub identification than both `MB` and `glasso`. We have also applied `space` methods, `MB` and `glasso` on networks with nearly uniform degree distributions generated by following the simulation procedures in Meinshausen and Buhlmann (2006), as well as the AR network discussed in Yuan and Lin (2007) and Friedman et al. (2007b). For these cases, the `space` methods perform comparably, if not better than, the other two methods. However, for these networks without hubs, the advantages of `space` become smaller compared to the results on the networks with hubs. Due to `space` limitation, detailed results are not reported here.

We conjecture that, under the sparse and high dimensional setting, the superior performance in model selection of the regression based method `space` over the penalized likelihood method is partly due to its simpler quadratic loss function. Moreover, since `space` ignores the correlation structure of the regression residuals, it amounts to a greater degree of regularization, which may render additional benefits under the sparse and high dimensional setting.

In terms of parameter estimation, we compare the entropy loss of the three methods. We find that, they perform similarly when the estimated models are of small or moderate size. When the estimated models are large, `glasso` generally performs better in this regard than the other two methods. Since the interest of this paper lies in model selection, detailed results of parameter estimation are not reported here.

As discussed earlier, one limitation of `space` is its lack of assurance of positive definiteness. However, for simulations reported above, the corresponding estimators we have examined (over 3000 in total) are all positive definite. To further investigate this issue, we design a few additional simulations. We first consider a case with a similar network structure as the Hub network, however having a nearly singular concentration matrix (the condition number is 16, 240; as a comparison, the condition number for the original Hub network is 62). For this case, the estimate of `space` remains positive definite until the number of total detected edges increases to 50, 000; while the estimate of `MB` remains positive definite until the number of total detected edges is more than 23, 000. Note that, the total number of true edges of this model is only 568, and the model selected by `space.joint` has 791 edges. In the second simulation, we consider a denser network (*p* = 500 and the number of true edges is 6, 188) with a nearly singular concentration matrix (condition number is 3, 669). Again, we observe that, the `space` estimate only becomes non-positive-definite when the estimated models are huge (the number of detected edges is more than 45, 000). This suggests that, for the regime we are interested in in this paper (the sparse and high dimensional setting), non-positive-definiteness does not seem to be a big issue for the proposed method, as it only occurs when the resulting model is huge and thus very far away from the true model. As long as the estimated models are reasonably sparse, the corresponding estimators by `space` remain positive definite. We believe that this is partly due to the heavy shrinkage imposed on the off-diagonal entries in order to ensure sparsity.

Finally, we investigate the performance of these methods when the observations come from a non-normal distribution. Particularly, we consider the multivariate *t _{df}*-distribution with

*df*= 3, 6, 10. The performances of all three methods deteriorate compared to the normal case, however the overall picture in terms of relative performance among these methods remains essentially unchanged (detailed results not shown).

## 4 APPLICATION

More than 500,000 women die annually of breast cancer world wide. Great efforts are being made to improve the prevention, diagnosis and treatment for breast cancer. Specifically, in the past couple of years, molecular diagnostics of breast cancer have been revolutionized by high throughput genomics technologies. A large number of gene expression signatures have been identified (or even validated) to have potential clinical usage. However, since breast cancer is a complex disease, the tumor process cannot be understood by only analyzing individual genes. There is a pressing need to study the interactions between genes, which may well lead to better understanding of the disease pathologies.

In a recent breast cancer study, microarray expression experiments were conducted for 295 primary invasive breast carcinoma samples (Chang et al. 2005; van de Vijver et al. 2002). Raw array data and patient clinical outcomes for 244 of these samples are available on-line and are used in this paper. Data can be downloaded at http://microarray-pubs.stanford.edu/wound_NKI/explore.html. To globally characterize the association among thousands of mRNA expression levels in this group of patients, we apply the `space` method on this data set as follows. First, for each expression array, we perform the global normalization by centering the mean to zero and scaling the median absolute deviation to one. Then we focus on a subset of *p* = 1217 genes/clones whose expression levels are significantly associated with tumor progression (*p*-values from univariate Cox models < 0.0008, corresponding FDR = 0.01). We estimate the partial correlation matrix of these 1217 genes with `space.dew` for a series of *λ* values. The degree distribution of the inferred network is heavily skewed to the right. Specifically, when 629 edges are detected, 598 out of the 1217 genes do not connect to any other genes, while five genes have degrees of at least 10. The power-law parameter of this degree distribution is *α* = 2.56 , which is consistent with the findings in the literature for GRNs (Newman 2003). The topology of the inferred network is shown in Figure 5(a), which supports the statement that genetic pathways consist of many genes with few interactions and a few hub genes with many interactions.

We then search for potential hub genes by ranking nodes according to their degrees. There are 11 candidate hub genes whose degrees consistently rank the highest under various *λ* [see Figure 5(b)]. Among these 11 genes, five are important known regulators in breast cancer. For example, *HNF3A* (also known as *FOXA1* ) is a transcription factor expressed predominantly in a subtype of breast cancer, which regulates the expression of the cell cycle inhibitor *p*27*kip*1 and the cell adhesion molecule E-cadherin. This gene is essential for the expression of approximately 50% of estrogene-regulated genes and has the potential to serve as a therapeutic target (Nakshatri and Badve 2007). Except for *HNF3A*, all the other 10 hub genes fall in the same big network component related to cell cycle/proliferation. This is not surprising as it is well-agreed that cell cycle/proliferation signature is prognostic for breast cancer. Specifically, *KNSL6, STK12, RAD54L* and *BUB1* have been previously reported to play a role in breast cancer: *KNSL6* (also known as *KIF2C*) is important for anaphase chromosome segregation and centromere separation, which is overexpressed in breast cancer cells but expressed undetectably in other human tissues except testis (Shimo et al. 2008); *STK12* (also known as *AURKB*) regulates chromosomal segregation during mitosis as well as meiosis, whose LOH contributes to an increased breast cancer risk and may influence the therapy outcome (Tchatchou et al. 2007); RAD54L is a recombinational repair protein associated with tumor suppressors BRCA1 and BRCA2, whose mutation leads to defect in repair processes involving homologous recombination and triggers the tumor development (Matsuda et al. 1999); in the end, BUB1 is a spindle checkpoint gene and belongs to the BML-1 oncogene-driven pathway, whose activation contributes to the survival life cycle of cancer stem cells and promotes tumor progression. The roles of the other six hub genes in breast cancer are worth of further investigation. The functions of all hub genes are briefly summarized in Table 4.

## 5 ASYMPTOTICS

In this section, we show that under appropriate conditions, the `space` procedure achieves both model selection consistency and estimation consistency. Use $\stackrel{\u2012}{\theta}$ and $\stackrel{\u2012}{\sigma}$ to denote the true parameters of *θ* and *σ*. As discussed in Section 2.1, when *σ* is given, *θ* is estimated by solving the following ${\ell}_{1}$ penalization problem:

where the *loss function* ${L}_{n}(\theta ,\sigma ,\mathbf{Y})\u2254{\scriptstyle \frac{1}{n}}{\sum}_{k=1}^{n}L(\theta ,\sigma ,{\mathbf{Y}}^{k})$, with, for *k* = 1, · · · , *n*

Throughout this section, we assume **Y**^{1}, · · · , **Y*** ^{n}* are i.i.d. samples from

*N*(0,

_{p}**Σ**). The Gaussianity assumption here can be relaxed by assuming appropriate tail behaviors of the observations. The assumption of zero mean is simply for exposition simplicity. In practice, in the loss function (9),

**Y**

*can be replaced by ${\mathbf{Y}}^{k}-\stackrel{\u2012}{\mathbf{Y}}$ where $\stackrel{\u2012}{\mathbf{Y}}={\scriptstyle \frac{1}{n}}{\sum}_{k=1}^{n}{\mathbf{Y}}^{k}$ is the sample mean. All results stated in this section still hold under that case.*

^{k}We first state regularity conditions that are needed for the proof. Define $\mathcal{A}=\{(i,j):{\stackrel{\u2012}{\rho}}^{ij}\ne 0\}$.

**C0**: The weights satisfy 0 < *w*_{0} ≤ min* _{i}*{

*w*} ≤ max

_{i}*{*

_{i}*w*} ≤

_{i}*w*

_{∞}< ∞

**C1**: There exist constants $0<{\Lambda}_{\mathrm{min}}\left(\stackrel{\u2012}{\theta}\right)\le {\Lambda}_{\mathrm{max}}\left(\stackrel{\u2012}{\theta}\right)<\infty $, such that the true covariance $\stackrel{\u2012}{\Sigma}=\stackrel{\u2012}{\Sigma}(\stackrel{\u2012}{\theta},\stackrel{\u2012}{\sigma})$ satisfies: $0<{\Lambda}_{\mathrm{min}}\left(\stackrel{\u2012}{\theta}\right)\le {\lambda}_{\mathrm{min}}\left(\stackrel{\u2012}{\Sigma}\right)\le {\lambda}_{\mathrm{max}}\left(\stackrel{\u2012}{\Sigma}\right)\le {\Lambda}_{\mathrm{max}}\left(\stackrel{\u2012}{\theta}\right)<\infty $, where *λ*_{min} and *λ*_{max} denote the smallest and largest eigenvalues of a matrix, respectively.

**C2**: There exist a constant *δ* < 1 such that for all $(i,j)\notin \mathcal{A}$

where for 1 ≤ *i* < *j* ≤ *p*, 1 ≤ *t* < *s* ≤ *p*,

Condition C0 says that the weights are bounded away from zero and infinity. Condition C1 assumes that the eigenvalues of the true covariance matrix $\stackrel{\u2012}{\Sigma}$ are bounded away from zero and infinity. Condition C2 corresponds to the *incoherence condition* in Meinshausen and Buhlmann (2006), which plays a crucial role in proving model selection consistency of ${\ell}_{1}$ penalization problems.

Furthermore, since $\stackrel{\u2012}{\sigma}$ is usually unknown, it needs to be estimated. Use $\widehat{\sigma}={\widehat{\sigma}}_{n}={\left\{{\widehat{\sigma}}^{ii}\right\}}_{i=1}^{p}$ to denote one estimator. The following condition says

**D** : For any *η* > 0, there exists a constant *C* > 0, such that for sufficiently large *n*, ${\mathrm{max}}_{1\le i\le p}\mid {\widehat{\sigma}}^{ii}-{\stackrel{\u2012}{\sigma}}^{ii}\mid \le C\left(\sqrt{{\scriptstyle \frac{\mathrm{log}\phantom{\rule{thinmathspace}{0ex}}n}{n}}}\right)$ holds with probability at least 1 – *O*(*n ^{−η}*).

Note that, the theorems below hold even when $\widehat{\sigma}$ is obtained based on the same data set from which *θ* is estimated as long as condition D is satisfied. The following proposition says that, when *p < n*, we can get an estimator of *σ* satisfying condition D by simply using the residuals of the ordinary least square fitting.

### Proposition 1

*Suppose ***Y** = [**Y**^{1} : · · · : **Y*** ^{n}*]

*is a p*×

*n data matrix with i.i.d. columns*

**Y**

*~*

^{i}*N*(0,

_{p}**Σ**).

*Further suppose that p*=

*p*≤ 1 −

_{n}such that p/n*δ for some δ*> 0;

*and*

**Σ**

*has a bounded condition number (that is assuming condition C1). Let*${\stackrel{\u2012}{\sigma}}^{ii}$

*denote the*(

*i, i*)-

*th element of*

**Σ**

^{−1};

*and let*

**e**

_{i }

*denote the residual from regressing*

**Y**

^{i }

*on to*

**Y**

_{(−i)}:= [

**Y**

^{1}: · · · :

**Y**

^{i−1}:

**Y**

^{i+1}: · · · :

**Y**

^{n}],

*that is*

*Define* ${\widehat{\sigma}}^{ii}=1\u2215{\widehat{\sigma}}_{ii,-\left(i\right)}$, *where*

*then condition D holds for* ${\left\{{\widehat{\sigma}}^{ii}\right\}}_{i=1}^{p}$.

The proof of this proposition is omitted due to `space` limitation.

We now state notations used in the main results. Let ${q}_{n}=\mid \mathcal{A}\mid $ denote the number of nonzero partial correlations (of the underlying true model) and let {*s _{n}*} be a positive sequence of real numbers such that for any $(i,j)\in \mathcal{A}:\mid {\stackrel{\u2012}{\rho}}^{ij}\mid \ge {s}_{n}$. Note that,

*s*can be viewed as the signal size. We follow the similar strategy as in Meinshausen and Buhlmann (2006) and Massam et al. (2007) in deriving the asymptotic result: (i) First prove estimation consistency and sign consistency for the restricted penalization problem with ${\theta}_{{\mathcal{A}}^{c}}=0$ (Theorem 1). We employ the method of the proof of Theorem 1 in Fan and Peng (2004); (ii) Then we prove that with probability tending to one, no wrong edge is selected (Theorem 2); (iii) The final consistency result then follows (Theorem 3).

_{n}### Theorem 1

*(consistency of the restricted problem) Suppose that conditions C0-C1 and D are satisfied. Suppose further that* ${q}_{n}\sim o\left(\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}\right)$, ${\lambda}_{n}\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}\to \infty $ *and* $\sqrt{{q}_{n}}{\lambda}_{n}\sim o\left(1\right)$, *as n* → ∞. *Then there exists a constant* $C\left(\stackrel{\u2012}{\theta}\right)>0$, *such that for any η* > 0, *the following events hold with probability at least* 1 – *O*(*n ^{−η}*):

*there exists a solution*${\widehat{\theta}}^{\mathcal{A},{\lambda}_{n}}={\widehat{\theta}}^{\mathcal{A},{\lambda}_{n}}\left(\widehat{\sigma}\right)$*of the restricted problem*:$$\underset{\theta :{\theta}_{{\mathcal{A}}^{c}}=0}{\text{min}}{L}_{n}(\theta ,\widehat{\sigma},\mathbf{Y})+{\lambda}_{n}{\Vert \theta \Vert}_{1},$$(11)*where the loss function L*_{n}is defined via (10)*(estimation consistency) any solution*${\widehat{\theta}}^{\mathcal{A},{\lambda}_{n}}$*of the restricted problem (11) satisfies:*$${\Vert {\widehat{\theta}}^{\mathcal{A},{\lambda}_{n}}-{\stackrel{\u2012}{\theta}}_{\mathcal{A}}\Vert}_{2}\le C\left(\stackrel{\u2012}{\theta}\right)\sqrt{{q}_{n}}{\lambda}_{n}.$$*(sign consistency) if further assume that the signal sequence satisfies:*${\scriptstyle \frac{{s}_{n}}{\sqrt{{q}_{n}}{\lambda}_{n}}}\to \infty $,*n*→ ∞,*then*$\mathrm{sign}\left({\widehat{\theta}}_{ij}^{\mathcal{A},{\lambda}_{n}}\right)=\mathrm{sign}\left({\stackrel{\u2012}{\theta}}_{ij}\right)$,*for all*1 ≤*i*<*j*≤*p*.

### Theorem 2

*Suppose that conditions C0-C2 and D are satisfied. Suppose further that p* = *O*(*n ^{κ}*)

*for some κ*≥ 0; ${q}_{n}\sim o\left(\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}\right)$, $\sqrt{{\scriptstyle \frac{{q}_{n}\phantom{\rule{thickmathspace}{0ex}}\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}{n}}}=o\left({\lambda}_{n}\right)$, ${\lambda}_{n}\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}\to \infty $

*and*$\sqrt{{q}_{n}}{\lambda}_{n}\sim o\left(1\right)$,

*as n*→ ∞.

*Then for any η*> 0,

*for n sufficiently large, the solution of (11) satisfies*

*where* ${L}_{n,ij}^{\prime}\u2254{\scriptstyle \frac{\partial {L}_{n}}{\partial {\rho}^{ij}}}$.

### Theorem 3

*Assume the same conditions of Theorem 2. Then there exists a constant* $C\left(\stackrel{\u2012}{\theta}\right)>0$, *such that for any η* > 0 *the following events hold with probability at least* 1 – *O*(*n ^{−η}*):

*there exists a solution*${\widehat{\theta}}^{\lambda n}={\widehat{\theta}}^{\lambda n}\left(\widehat{\sigma}\right)$*of the*${\ell}_{1}$*penalization problem*$$\underset{\theta}{\text{min}}{L}_{n}(\theta ,\widehat{\sigma},\mathbf{Y})+{\lambda}_{n}{\Vert \theta \Vert}_{1},$$(12)*where the loss function L*_{n}is defined via (10).*(estimation consistency): any solution*${\widehat{\theta}}^{\lambda n}$*of (12) satisfies:*$${\Vert {\widehat{\theta}}^{{\lambda}_{n}}-\stackrel{\u2012}{\theta}\Vert}_{2}\le C\left(\stackrel{\u2012}{\theta}\right)\left(\sqrt{{q}_{n}}{\lambda}_{n}\right).$$*(Model selection consistency/sign consistency):*$$\text{sign}\left({\widehat{\theta}}_{ij}^{{\lambda}_{n}}\right)=\text{sign}\left({\stackrel{\u2012}{\theta}}_{ij}\right),for\phantom{\rule{thickmathspace}{0ex}}all\phantom{\rule{thickmathspace}{0ex}}1\le i<j\le p.$$

Proofs of these theorems are given in the Supplemental Material. Finally, due to exponential small tails of the probabilistic bounds, model selection consistency can be easily extended when the network consists of *N* disjointed components with *N* = *O*(*n ^{α}*) for some

*α*≥ 0, as long as the size and the number of true edges of each component satisfy the corresponding conditions in Theorem 2.

### Remark 1

*The condition* ${\lambda}_{n}\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}\to \infty $ *is indeed implied by the condition* $\sqrt{{\scriptstyle \frac{{q}_{n}\phantom{\rule{thickmathspace}{0ex}}\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}{n}}}=o\left({\lambda}_{n}\right)$ *as long as q _{n} does not go to zero. Moreover, under the “worst case” scenario, that is when q_{n} is almost in the order of* $\sqrt{{\scriptstyle \frac{n}{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n}}}$,

*λ*

_{n}needs to be nearly in the order of n^{−1/4}.

*On the other hand, for the“best case” scenario, that is when q*=

_{n}*O*(1)

*(for example, when the dimension p is fixed), the order of λ*

_{n}can be nearly as small as n^{−1/2 }

*(within a factor of*log

*n). Consequently, the*${\ell}_{2}\text{-}norm$

*distance of the estimator from the true parameter is in the order of*$\sqrt{\mathrm{log}\phantom{\rule{thickmathspace}{0ex}}n\u2215n}$,

*with probability tending to one.*

## 6 SUMMARY

In this paper, we propose a joint sparse regression model – `space` – for selecting non-zero partial correlations under the high-dimension-low-sample-size setting. By controlling the overall sparsity of the partial correlation matrix, `space` is able to automatically adjust for different neighborhood sizes and thus to utilize data more effectively. The proposed method also explicitly employs the symmetry among the partial correlations, which also helps to improve efficiency. Moreover, this joint model makes it easy to incorporate prior knowledge about network structure. We develop a fast algorithm `active-shooting` to implement the proposed procedure, which can be readily extended to solve some other penalized optimization problems. We also propose a “BIC-type” criterion for the selection of the tuning parameter. With extensive simulation studies, we demonstrate that this method achieves good power in non-zero partial correlation selection as well as hub identification, and also performs favorably compared to two existing methods. The impact of the sample size and dimensionality has been examined on simulation examples as well. We then apply this method on a microarray data set of 1217 genes from 244 breast cancer tumor samples, and find 11 candidate hubs, of which five are known breast cancer related regulators. In the end, we show consistency (in terms of model selection and estimation) of the proposed procedure under suitable regularity and sparsity conditions.

The R package *space* – Sparse PArtial Correlation Estimation – is available on http://cran.r-project.org.

## ACKNOWLEDGEMENT

We are grateful to two anonymous reviewers and an associate editor whose comments led to many improvements of the paper.

Peng and Wang are partially supported by grant R01GM082802-01A1 from the National Institute of General Medical Sciences. Peng is also partially supported by grant DMS-0806128 from the National Science Foundation. Zhou and Zhu are partially supported by grants DMS-0705532 and DMS-0748389 from the National Science Foundation.

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