A parallel algorithm for ridge-penalized estimation of the multivariate exponential family from data of mixed types

DOI10.1007/S11222-021-10013-XzbMATH Open1475.62044arXiv1812.02401OpenAlexW3160692825WikidataQ115602838 ScholiaQ115602838MaRDI QIDQ2058766FDOQ2058766

Diederik S. Laman Trip, Wessel N. van Wieringen

Publication date: 9 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Computational efficient evaluation of penalized estimators of multivariate exponential family distributions is sought. These distributions encompass among others Markov random fields with variates of mixed type (e.g. binary and continuous) as special case of interest. The model parameter is estimated by maximization of the pseudo-likelihood augmented with a convex penalty. The estimator is shown to be consistent. With a world of multi-core computers in mind, a computationally efficient parallel Newton-Raphson algorithm is presented for numerical evaluation of the estimator alongside conditions for its convergence. Parallelization comprises the division of the parameter vector into subvectors that are estimated simultaneously and subsequently aggregated to form an estimate of the original parameter. This approach may also enable efficient numerical evaluation of other high-dimensional estimators. The performance of the proposed estimator and algorithm are evaluated and compared in a simulation study. Finally, the paper concludes with an illustration of the presented methodology in the reconstruction of the conditional independence network from data of an integrative omics study.

Full work available at URL: https://arxiv.org/abs/1812.02401

zbMATH Keywords

networkconsistencypseudo-likelihoodparallel algorithmgraphical modelMarkov random fieldblock-wise Newton-Raphson

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parallel numerical computation (65Y05)

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Cited In (1)

• Parallel restricted maximum likelihood estimation for linear models with a dense exogenous matrix

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