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

causal inferencestructural equation modelBayesian networkextreme value theorygraphical modeldirected acyclic graph (DAG)generalized maximum likelihood estimation

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)

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

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