A Stepwise Approach for High-Dimensional Gaussian Graphical Models

Autor:	Lafit, Ginette, Nogales, Francisco J., Ruiz, Marcelo, Zamar, Ruben H.
Rok vydání:	2018
Předmět:	Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	We present a stepwise approach to estimate high dimensional Gaussian graphical models. We exploit the relation between the partial correlation coefficients and the distribution of the prediction errors, and parametrize the model in terms of the Pearson correlation coefficients between the prediction errors of the nodes' best linear predictors. We propose a novel stepwise algorithm for detecting pairs of conditionally dependent variables. We show that the proposed algorithm outperforms existing methods such as the graphical lasso and CLIME in simulation studies and real life applications. In our comparison we report different performance measures that look at different desirable features of the recovered graph and consider several model settings. Comment: 26 pages, 5 figures, 4 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1808.06016 Zobrazit plný text záznamu View this record from Arxiv