Inferring sparse Gaussian graphical models with latent structure
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model selectionEM algorithmGaussian graphical modelmixture modelvariational inference\(\ell_1\)-penalization
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09)
Abstract: Our concern is selecting the concentration matrix's nonzero coefficients for a sparse Gaussian graphical model in a high-dimensional setting. This corresponds to estimating the graph of conditional dependencies between the variables. We describe a novel framework taking into account a latent structure on the concentration matrix. This latent structure is used to drive a penalty matrix and thus to recover a graphical model with a constrained topology. Our method uses an penalized likelihood criterion. Inference of the graph of conditional dependencies between the variates and of the hidden variables is performed simultaneously in an iterative extsc{em}-like algorithm. The performances of our method is illustrated on synthetic as well as real data, the latter concerning breast cancer.
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Cited in
(38)- Graphical model selection with latent variables
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