Abstract
Network estimation has been a critical component of high-dimensional data analysis and can provide an understanding of the underlying complex dependence structures. Among the existing studies, Gaussian graphical models have been highly popular. However, they still have limitations due to the homogeneous distribution assumption and the fact that they are only applicable to small-scale data. For example, cancers have various levels of unknown heterogeneity, and biological networks, which include thousands of molecular components, often differ across subgroups while also sharing some commonalities. In this article, we propose a new joint estimation approach for multiple networks with unknown sample heterogeneity, by decomposing the Gaussian graphical model (GGM) into a collection of sparse regression problems. A reparameterization technique and a composite minimax concave penalty are introduced to effectively accommodate the specific and common information across the networks of multiple subgroups, making the proposed estimator significantly advancing from the existing heterogeneity network analysis based on the regularized likelihood of GGM directly and enjoying scale-invariant, tuning-insensitive, and optimization convexity properties. The proposed analysis can be effectively realized using parallel computing. The estimation and selection consistency properties are rigorously established. The proposed approach allows the theoretical studies to focus on independent network estimation only and has the significant advantage of being both theoretically and computationally applicable to large-scale data. Extensive numerical experiments with simulated data and the TCGA breast cancer data demonstrate the prominent performance of the proposed approach in both subgroup and network identifications.