A two-step method for estimating high-dimensional Gaussian graphical models

The problem of estimating high-dimensional Gaussian graphical models has gained much attention in recent years. Most existing methods can be considered as one-step approaches, being either regression-based or likelihood-based. In this paper, we propose a two-step method for estimating the high-dimensional Gaussian graphical model. Specifically, the first step serves as a screening step, in which many entries of the concentration matrix are identified as zeros and thus removed from further consideration. Then in the second step, we focus on the remaining entries of the concentration matrix and perform selection and estimation for nonzero entries of the concentration matrix. Since the dimension of the parameter space is effectively reduced by the screening step, the estimation accuracy of the estimated concentration matrix can be potentially improved. We show that the proposed method enjoys desirable asymptotic properties. Numerical comparisons of the proposed method with several existing methods indicate that the proposed method works well. We also apply the proposed method to a breast cancer microarray data set and obtain some biologically meaningful results.