On the Letac-Massam conjecture and existence of high dimensional Bayes estimators for graphical models

DOI10.1214/19-EJS1669MaRDI QIDQ2293718zbMATH OpenOpenAlexWikidataFDO

Authors Emanuel Ben-David, Bala Rajaratnam

Publication date 5 February 2020

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.0788, https://projecteuclid.org/euclid.ejs/1580202031

zbMATH Keywords

Bayesian inferenceGaussian distributiongraphical modelsWishart distribution

Mathematics Subject Classification ID

Applications of graph theory (05C90) Gaussian processes (60G15) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probabilistic graphical models (62H22)

Abstract: In recent years, a variety of useful extensions of the Wishart have been proposed in the literature for the purposes of studying Markov random fields/graphical models. In particular, generalizations of the Wishart, referred to as Type I and Type II Wishart distributions, have been introduced by Letac and Massam (emph{Annals of Statistics} 2006) and play important roles in both frequentist and Bayesian inference for Gaussian graphical models. These distributions have been especially useful in high-dimensional settings due to the flexibility offered by their multiple shape parameters. The domain of In this paper we resolve a long-standing conjecture of Letac and Massam (LM) concerning the domains of the multi-parameters of graphical Wishart type distributions. This conjecture, posed in emph{Annals of Statistics}, also relates fundamentally to the existence of Bayes estimators corresponding to these high dimensional priors. To achieve our goal, we first develop novel theory in the context of probabilistic analysis of graphical models. Using these tools, and a recently introduced class of Wishart distributions for directed acyclic graph (DAG) models, we proceed to give counterexamples to the LM conjecture, thus completely resolving the problem. Our analysis also proceeds to give useful insights on graphical Wishart distributions with implications for Bayesian inference for such models.

Review text

Inference on graphical models has been a topic of contemporary interest. One aspect in such study is establishing sufficient and/or necessary conditions for the existence of high dimensional estimators for the model parameters. A useful notion for flexible high dimensional inference is the multiple-shape parameter concept. The families of Type I and Type II Wishart distributions, introduced by \textit{G. Letac} and \textit{H. Massam} [Ann. Stat. 35, No. 3, 1278--1323 (2007; Zbl 1194.62078)], have multiple-shaped parameters. Those distributions have been used for objective Bayesian model selection in Gaussian graphical models. But, since the involved distributions do not have the domain of their high dimensional parameters fully identified, it is not clear when these distributions yield well-defined and proper priors. In this direction there is the Letac-Massan (LM) conjecture. This conjecture is critical for understanding when those priors lead to well-defined Bayesian estimators, since their existence (of estimators) is not always guaranted in high-dimensional setting, with the sample size \(n\) being much smaller than \(p,\) the dimension of the distribution. Type I and Type II Wishart distributions when used for general decomposable graphs, except for homogeneous graphs and paths, do not have their (multiple-shape) parameter spaces fully identified. For non-homogeneous decomposable graph \(\mathcal{G}\), Letac and Massan [loc. cit.] first fix a perfect order \(\mathcal{P}\) of \(\mathcal{G}\) and identify two corresponding subsets \(A_\mathcal{P}\) and \(B_\mathcal{P}\) for the corresponding parameter space. By taking the unions of \(A_\mathcal{P}\) and \(B_\mathcal{P}\) over all perfect orders of \(\mathcal{G}\), they conjectured the union of the two just mentioned unions can fully cover, and hence, identify the parameter space. In the reviewed paper, the LM conjecture is approached by an appropriate acyclic directed graph (DAG) setting. The Type I and Type II Wishart distributions are transformed to distributions that correspond to appropriate perfect DAG models. Through the analysis of LM conjecture on the corresponding domain, the authors derive a necessary condition for the conjecture to hold, namely, for non--homogeneous decomposable graph \(\mathcal{G}\) no nested separators can occur in order to the LM conjecture to hold on \(\mathcal{G}\). Using their result, the authors can provide graphs that are counterexamples to the LM conjecture.

Recommendations

• On the Letac-Massam conjecture on cones \(Q_{A_n}\)
• Wishart distributions for decomposable graphs
• Wishart distributions for decomposable covariance graph models
• Exact formulas for the normalizing constants of Wishart distributions for graphical models
• Covariance trees and Wishart distributions on cones

Cites work

• A Linear Recognition Algorithm for Cographs
• Cholesky decomposition of a hyper inverse Wishart matrix
• Efficient parallel recognition algorithms of cographs and distance hereditary graphs
• Flexible covariance estimation in graphical Gaussian models
• Gibbs sampling, exponential families and orthogonal polynomials
• Handbook of Graphical Models
• scientific article; zbMATH DE number 715155 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Hyper Markov laws in the statistical analysis of decomposable graphical models
• Linear Recursive Equations, Covariance Selection, and Path Analysis
• Normal linear regression models with recursive graphical Markov structure
• Objective Bayesian model selection in Gaussian graphical models
• On Riesz and Wishart distributions associated with decomposable undirected graphs
• On the Letac-Massam conjecture on cones \(Q_{A_n}\)
• Orbit structure of the closure of a homogeneous cone
• Positive definite completion problems for Bayesian networks
• Positive definite completions of partial Hermitian matrices
• Positive Riesz distributions on homogeneous cones
• Sparse matrix decompositions and graph characterizations
• Wishart distributions for decomposable covariance graph models
• Wishart distributions for decomposable graphs

Cited in

(1)

• On the Letac-Massam conjecture on cones \(Q_{A_n}\)

This page was built for publication: On the Letac-Massam conjecture and existence of high dimensional Bayes estimators for graphical models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2293718)