Estimation of high-dimensional graphical models using regularized score matching
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Publication:138467
DOI10.1214/16-EJS1126zbMATH Open1336.62130arXiv1507.00433OpenAlexW2964242736WikidataQ38714794 ScholiaQ38714794MaRDI QIDQ138467FDOQ138467
Authors: Lina Lin, Ali Shojaie, Mathias Drton 
Publication date: 1 January 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: Graphical models are widely used to model stochastic dependences among large collections of variables. We introduce a new method of estimating undirected conditional independence graphs based on the score matching loss, introduced by Hyvarinen (2005), and subsequently extended in Hyvarinen (2007). The regularized score matching method we propose applies to settings with continuous observations and allows for computationally efficient treatment of possibly non-Gaussian exponential family models. In the well-explored Gaussian setting, regularized score matching avoids issues of asymmetry that arise when applying the technique of neighborhood selection, and compared to existing methods that directly yield symmetric estimates, the score matching approach has the advantage that the considered loss is quadratic and gives piecewise linear solution paths under regularization. Under suitable irrepresentability conditions, we show that -regularized score matching is consistent for graph estimation in sparse high-dimensional settings. Through numerical experiments and an application to RNAseq data, we confirm that regularized score matching achieves state-of-the-art performance in the Gaussian case and provides a valuable tool for computationally efficient estimation in non-Gaussian graphical models.
Full work available at URL: https://arxiv.org/abs/1507.00433
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high-dimensional statisticssparsityconditional independence graphgraphical modelexponential familyscore matching
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