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arXiv · 2508.12258

Identifying Network Hubs with the Partial Correlation Graphical LASSO

Małgorzata Bogdan·Adam Chojecki·Ivan Hejný·Bartosz Kołodziejek·Jonas Wallin
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Abstract

Graphical LASSO (GLASSO) is a widely used method for estimating sparse precision matrices and learning undirected graphical models in high-dimensional settings. Because GLASSO penalizes entries of the precision matrix directly, however, it is not scale-invariant. Partial Correlation Graphical LASSO (PCGLASSO), introduced by Carter et al. (2024), addresses this limitation by penalizing partial correlations, which directly characterize conditional dependence. In this paper, we study both statistical and computational properties of the PCGLASSO estimator. Our main contribution is the introduction of a scale-invariant irrepresentability condition for PCGLASSO and the proof that this condition is sufficient for consistent model selection. We further show that this condition is weaker than the corresponding irrepresentability condition for GLASSO, helping to explain the improved empirical behavior of PCGLASSO in settings such as hub-structured graphs. In addition, we develop two efficient algorithms for computing the estimator and analyze the nonconvex optimization problem underlying PCGLASSO, deriving conditions for global uniqueness and showing consistency of all minimizers.

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Małgorzata Bogdan, Adam Chojecki, Ivan Hejný, Bartosz Kołodziejek, Jonas Wallin. 2025-08-17. Identifying Network Hubs with the Partial Correlation Graphical LASSO. https://arxiv.org/abs/2508.12258

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