Max-linear models on directed acyclic graphs

DOI10.3150/17-BEJ941zbMATH Open1419.62138arXiv1512.07522OpenAlexW2962966715MaRDI QIDQ1708981FDOQ1708981

Authors: Nadine Gissibl, Claudia Klüppelberg 

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider a new recursive structural equation model where all variables can be written as max-linear function of their parental node variables and independent noise variables. The model is max-linear in terms of the noise variables, and its causal structure is represented by a directed acyclic graph. We detail the relation between the weights of the recursive structural equation model and the coefficients in its max-linear representation. In particular, we characterize all max-linear models which are generated by a recursive structural equation model, and show that its max-linear coefficient matrix is the solution of a fixed point equation. We also find a unique minimum directed acyclic graph representing the recursive structural equations of the variables. The model structure introduces a natural order between the node variables and the max-linear coefficients. This yields representations of the vector components, which are based on a minimum number of node and noise variables.

Full work available at URL: https://arxiv.org/abs/1512.07522

Recommendations

• Identifiability and estimation of recursive max-linear models
• Recursive max-linear models with propagating noise
• Discrete max-linear Bayesian networks
• scientific article; zbMATH DE number 3878159
• The maximum likelihood threshold of a path diagram

zbMATH Keywords

structural equation modeldirected acyclic graphgraphical modelmax-linear modelpath analysisminimal representation

Mathematics Subject Classification ID

Applications of graph theory (05C90) Estimation in multivariate analysis (62H12)

Cites Work

• Causation, prediction, and search
• Graph theory
• Title not available (Why is that?)
• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Causality. Models, reasoning, and inference
• Probabilistic graphical models.
• Conditional sampling for spectrally discrete max-stable random fields
• The Method of Path Coefficients
• Heavy-Tail Phenomena
• Max-linear systems. Theory and algorithms.
• The Transitive Reduction of a Directed Graph
• Bayesian Networks
• Causal inference in partially linear structural equation models
• Independence properties of directed markov fields
• CAM: causal additive models, high-dimensional order search and penalized regression
• A systolic array algorithm for the algebraic path problem (shortest paths; matrix inversion)
• Title not available (Why is that?)

Cited In (20)

• Causal discovery in heavy-tailed models
• Estimating an extreme Bayesian network via scalings
• Causality in extremes of time series
• Causal modelling of heavy-tailed variables and confounders with application to river flow
• Recursive max-linear models with propagating noise
• Identifiability and estimation of recursive max-linear models
• Nonparametric analysis of extremes on web graphs: PageRank versus max-linear model
• Max-linear models in random environment
• Extremal properties of evolving networks: local dependence and heavy tails
• Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
• Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
• Computing maximum likelihood estimates in recursive linear models with correlated errors
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
• \(k\)-means clustering of extremes
• Discrete max-linear Bayesian networks
• Conditional independence in max-linear Bayesian networks
• One- versus multi-component regular variation and extremes of Markov trees
• Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
• Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables

Uses Software

• TETRAD

This page was built for publication: Max-linear models on directed acyclic graphs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1708981)