Penalized composite likelihood for colored graphical Gaussian models

Abstract: This paper proposes a penalized composite likelihood method for model selection in colored graphical Gaussian models. The method provides a sparse and symmetry-constrained estimator of the precision matrix, and thus conducts model selection and precision matrix estimation simultaneously. In particular, the method uses penalty terms to constrain the elements of the precision matrix, which enables us to transform the model selection problem into a constrained optimization problem. Further, computer experiments are conducted to illustrate the performance of the proposed new methodology. It is shown that the proposed method performs well in both the selection of nonzero elements in the precision matrix and the identification of symmetry structures in graphical models. The feasibility and potential clinical application of the proposed method are demonstrated on a microarray gene expression data set.