Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property
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Abstract: The AMP Markov property is a recently proposed alternative Markov property for chain graphs. In the case of continuous variables with a joint multivariate Gaussian distribution, it is the AMP rather than the earlier introduced LWF Markov property that is coherent with data-generation by natural block-recursive regressions. In this paper, we show that maximum likelihood estimates in Gaussian AMP chain graph models can be obtained by combining generalized least squares and iterative proportional fitting to an iterative algorithm. In an appendix, we give useful convergence results for iterative partial maximization algorithms that apply in particular to the described algorithm.
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(16)- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- Learning Markov equivalence classes of directed acyclic graphs: an objective Bayes approach
- Learning AMP chain graphs and some marginal models thereof under faithfulness
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- Maximum likelihood for Gaussians on graphs
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- Bayesian Structure Learning in Multilayered Genomic Networks
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- Identifiability and Consistent Estimation for Gaussian Chain Graph Models
- Bayesian robust learning in chain graph models for integrative pharmacogenomics
- The cost of using decomposable Gaussian graphical models for computational convenience
- Regression graphs and sparsity-inducing reparameterizations
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