Estimation of Gaussian graphs by model selection
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Publication:1951762
DOI10.1214/08-EJS228zbMath1320.62094arXiv0710.2044OpenAlexW3101229196MaRDI QIDQ1951762
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We investigate in this paper the estimation of Gaussian graphs by model selection from a non-asymptotic point of view. We start from a 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 assess the performance of the procedure in a non-asymptotic setting. We pay a special attention to the maximal degree D of the graphs that we can handle, which turns to be roughly n/(2 log p).
Full work available at URL: https://arxiv.org/abs/0710.2044
Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Random matrices (algebraic aspects) (15B52)
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Related Items (6)
Goodness-of-fit tests for high-dimensional Gaussian linear models ⋮ Minimax risks for sparse regressions: ultra-high dimensional phenomenons ⋮ High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence ⋮ High-dimensional Gaussian model selection on a Gaussian design ⋮ Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models ⋮ High-dimensional regression with unknown variance
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