Though Gaussian graphical models have been widely used in many scientific fields, limited progress has been made to link graph structures to external covariates because of substantial challenges in theory and computation. We propose a Gaussian graphical regression model, which regresses both the mean and the precision matrix of a Gaussian graphical model on covariates. In the context of co-expression quantitative trait locus (QTL) studies, our framework facilitates estimation of both population- and subject-level gene regulatory networks, and detection of how subject-level networks vary with genetic variants and clinical conditions. Our framework accommodates high dimensional responses and covariates, and encourages covariate effects on both the mean and the precision matrix to be sparse. In particular for the precision matrix, we stipulate simultaneous sparsity, i.e., group sparsity and element-wise sparsity, on effective covariates and their effects on network edges, respectively. We establish variable selection consistency first under the case with known mean parameters and then a more challenging case with unknown means depending on external covariates, and show in both cases that the convergence rate of the estimated precision parameters is faster than that obtained by lasso or group lasso, a desirable property for the sparse group lasso estimation. The utility and efficacy of our proposed method is demonstrated through simulation studies and an application to a co-expression QTL study with brain cancer patients.
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