Identifiability and estimation of recursive max-linear models

DOI10.1111/SJOS.12446MaRDI QIDQ4994811zbMATH OpenOpenAlexFDO

Authors Nadine Gissibl, Claudia Klüppelberg, Steffen Lauritzen

Publication date 22 June 2021

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.03556

zbMATH Keywords

Bayesian networkcausal inferencedirected acyclic graph (DAG)extreme value theorygeneralized maximum likelihood estimationgraphical modelstructural equation model

Mathematics Subject Classification ID

Applications of graph theory (05C90) Statistics of extreme values; tail inference (62G32) Probabilistic graphical models (62H22)

Abstract: We address the identifiablity and estimation of recursive max-linear structural equation models represented by an edge weighted directed acyclic graph (DAG). Such models are generally unidentifiable and we identify the whole class of DAGs and edge weights corresponding to a given observational distribution. For estimation, standard likelihood theory cannot be applied because the corresponding families of distributions are not dominated. Given the underlying DAG, we present an estimator for the class of edge weights and show that it can be considered a generalized maximum likelihood estimator. In addition, we develop a simple method for identifying the structures of the DAGs. With probability tending to one at an exponential rate with the number of observations, this method correctly identifies the class of DAGs and, similarly, exactly identifies the possible edge weights.

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Cited in

(14)

• Max-linear models on directed acyclic graphs
• Discrete max-linear Bayesian networks
• Conditional independence in max-linear Bayesian networks
• Max-linear models in random environment
• Recursive max-linear models with propagating noise
• Estimating an extreme Bayesian network via scalings
• Max-linear regression models with regularization
• Computing maximum likelihood estimates in recursive linear models with correlated errors
• Recursive maximum likelihood identification of a non-linear output-affine model
• Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
• Information criteria for the number of directions of extremes in high-dimensional data
• Graphical models for infinite measures with applications to extremes
• Causal analysis of extreme risk in a network of industry portfolios
• Causal discovery in heavy-tailed models

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