Graphical methods for efficient likelihood inference in Gaussian covariance models

MaRDI QIDQ3096135zbMATH OpenFDO

Authors Mathias Drton, Thomas S. Richardson

Publication date 8 November 2011

Full work available at URL https://arxiv.org/abs/0708.1321, http://www.jmlr.org/papers/v9/drton08a.html

zbMATH Keywords

ancestral graphcovariance graphgraphical modelmarginal independencemaximum likelihood estimationmultivariate normal distribution

Mathematics Subject Classification ID

Applications of graph theory (05C90) Point estimation (62F10) Multivariate distribution of statistics (62H10)

Abstract: In graphical modelling, a bi-directed graph encodes marginal independences among random variables that are identified with the vertices of the graph. We show how to transform a bi-directed graph into a maximal ancestral graph that (i) represents the same independence structure as the original bi-directed graph, and (ii) minimizes the number of arrowheads among all ancestral graphs satisfying (i). Here the number of arrowheads of an ancestral graph is the number of directed edges plus twice the number of bi-directed edges. In Gaussian models, this construction can be used for more efficient iterative maximization of the likelihood function and to determine when maximum likelihood estimates are equal to empirical counterparts.

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Cited in

(15)

• Conjugate and conditional conjugate Bayesian analysis of discrete graphical models of marginal independence
• Sequences of regressions and their independences
• On the causal interpretation of acyclic mixed graphs under multivariate normality
• Wishart distributions for decomposable covariance graph models
• Groups acting on Gaussian graphical models
• Sparse matrix decompositions and graph characterizations
• Estimation of graphical models through structured norm minimization
• A unified framework for structured graph learning via spectral constraints
• Graphical lassos for meta‐elliptical distributions
• Linear optimization over homogeneous matrix cones
• The geometry of Gaussian double Markovian distributions
• Determining full conditional independence by low-order conditioning
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• Robust Bayesian structure learning for graphical models with T-distributions using G-Wishart prior
• Entropic covariance models

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