Finite sample rates of convergence for the Bigraphical and Tensor graphical Lasso estimators

Abstract

Many modern datasets exhibit dependencies among observations as well as variables. A decade ago, Kalaitzis et. al. (2013) proposed the Bigraphical Lasso, an estimator for precision matrices of matrix-normals based on the Cartesian product of graphs; they observed that the associativity of the Kronecker sum yields an approach to the modeling of datasets organized into 3 or higher-order tensors. Subsequently, Greenewald, Zhou and Hero (2019) explored this possibility to a great extent, by introducing the tensor graphical Lasso (TeraLasso) for estimating sparse $L$-way decomposable inverse covariance matrices for all $L \ge 2$, and showing the rates of convergence in the Frobenius and operator norms for estimating this class of inverse covariance matrices for sub-gaussian tensor-valued data. In this paper, we provide sharper rates of convergence for both Bigraphical and TeraLasso estimators for inverse covariance matrices. This improves upon the rates presented in GZH 2019. In particular, (a) we strengthen the bounds for the relative errors in the operator and Frobenius norm by a factor of approximately $\log p$; (b) Crucially, this improvement allows for finite sample estimation errors in both norms to be derived for the two-way Kronecker sum model. This closes the gap between the low single-sample error for the two-way model as observed in GZH 2019 and the lack of theoretical guarantee for this particular case. The two-way regime is important because it is the setting that is the most theoretically challenging, and simultaneously the most common in applications. In the current paper, we elaborate on the Kronecker Sum model, highlight the proof strategy and provide full proofs of all main theorems.