A Nonconvex Framework for Structured Dynamic Covariance Recovery


We propose a flexible yet interpretable model for high-dimensional data with time-varying second order statistics, motivated and applied to functional neuroimaging data. Motivated by the neuroscience literature, we factorize the covariances into sparse spatial and smooth temporal components. While this factorization results in both parsimony and domain interpretability, the resulting estimation problem is nonconvex. To this end, we design a two-stage optimization scheme with a carefully tailored spectral initialization, combined with iteratively refined alternating projected gradient descent. We prove a linear convergence rate up to a nontrivial statistical error for the proposed descent scheme and establish sample complexity guarantees for the estimator. We further quantify the statistical error for the multivariate Gaussian case. Empirical results using simulated and real brain imaging data illustrate that our approach outperforms existing baselines.

Technical report
Mladen Kolar
Mladen Kolar
Associate Professor of Econometrics and Statistics

Mladen Kolar is an Associate Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. His research is focused on high-dimensional statistical methods, graphical models, varying-coefficient models and data mining, driven by the need to uncover interesting and scientifically meaningful structures from observational data.