Bayesian graph selection consistency under model misspecification
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Publication:2214264
Abstract: Gaussian graphical models are a popular tool to learn the dependence structure in the form of a graph among variables of interest. Bayesian methods have gained in popularity in the last two decades due to their ability to simultaneously learn the covariance and the graph and characterize uncertainty in the selection. For scalability of the Markov chain Monte Carlo algorithms, decomposability is commonly imposed on the graph space. A wide variety of graphical conjugate priors are proposed jointly on the covariance matrix and the graph with improved algorithms to search along the space of decomposable graphs, rendering the methods extremely popular in the context of multivariate dependence modeling. {it An open problem} in Bayesian decomposable structure learning is whether the posterior distribution is able to select a meaningful decomposable graph that it is ``close in an appropriate sense to the true non-decomposable graph, when the dimension of the variables increases with the sample size. In this article, we explore specific conditions on the true precision matrix and the graph which results in an affirmative answer to this question using a commonly used hyper-inverse Wishart prior on the covariance matrix and a suitable complexity prior on the graph space, both in the well-specified and misspecified settings. In absence of structural sparsity assumptions, our strong selection consistency holds in a high dimensional setting where for . We show when the true graph is non-decomposable, the posterior distribution on the graph concentrates on a set of graphs that are {it minimal triangulations} of the true graph.
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- scientific article; zbMATH DE number 5769726
Cites work
- scientific article; zbMATH DE number 5769726 (Why is no real title available?)
- scientific article; zbMATH DE number 1134987 (Why is no real title available?)
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Cited in
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- Bayesian learning of graph substructures
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