Estimation of Gaussian graphs by model selection

Abstract

We investigate in this paper the estimation of Gaussian graphs by model selection from a non-asymptotic point of view. We start from an n-sample of a Gaussian law ℙ_C in ℝ^p and focus on the disadvantageous case where n is smaller than p. To estimate the graph of conditional dependences of ℙ_C, we introduce a collection of candidate graphs and then select one of them by minimizing a penalized empirical risk. Our main result assesses the performance of the procedure in a non-asymptotic setting. We pay special attention to the maximal degree D of the graphs that we can handle, which turns to be roughly n/(2logp).