A structural model on a hypercube represented by optimal transport

DOI10.5705/SS.2009.022MaRDI QIDQ3094084zbMATH OpenOpenAlexFDO

Authors Tomonari Sei

Publication date 21 October 2011

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.4715

zbMATH Keywords

determinant maximizationFourier seriesgraphical modellassooptimal transportstructural gradient model

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Convex programming (90C25)

Abstract: We propose a flexible statistical model for high-dimensional quantitative data on a hypercube. Our model, called the structural gradient model (SGM), is based on a one-to-one map on the hypercube that is a solution for an optimal transport problem. As we show with many examples, SGM can describe various dependence structures including correlation and heteroscedasticity. The maximum likelihood estimation of SGM is effectively solved by the determinant-maximization programming. In particular, a lasso-type estimation is available by adding constraints. SGM is compared with graphical Gaussian models and mixture models.

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Cited in

(1)

• Gradient modeling for multivariate quantitative data

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