Bayesian analysis of nonparanormal graphical models using rank-likelihood
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Publication:2676906
DOI10.1016/J.JSPI.2022.06.006zbMATH Open1495.62046arXiv1812.02884OpenAlexW2939727969MaRDI QIDQ2676906FDOQ2676906
Authors: Jami J. Mulgrave, Subhashis Ghosal 
Publication date: 28 September 2022
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: Gaussian graphical models, where it is assumed that the variables of interest jointly follow a multivariate normal distribution with a sparse precision matrix, have been used to study intrinsic dependence among variables, but the normality assumption may be restrictive in many settings. A nonparanormal graphical model is a semiparametric generalization of a Gaussian graphical model for continuous variables where it is assumed that the variables follow a Gaussian graphical model only after some unknown smooth monotone transformation. We consider a Bayesian approach for the nonparanormal graphical model using a rank-likelihood which remains invariant under monotone transformations, thereby avoiding the need to put a prior on the transformation functions. On the underlying precision matrix of the transformed variables, we consider a horseshoe prior on its Cholesky decomposition and use an efficient posterior Gibbs sampling scheme. We present a posterior consistency result for the precision matrix based on the rank-based likelihood. We study the numerical performance of the proposed method through a simulation study and apply it on a real dataset.
Full work available at URL: https://arxiv.org/abs/1812.02884
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Bayesian inference (62F15) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22)
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Cited In (4)
- Inference for Nonparanormal Partial Correlation via Regularized Rank-Based Nodewise Regression
- Parallel probabilistic graphical model approach for nonparametric Bayesian inference
- Bayesian inference in nonparanormal graphical models
- Regularized rank-based estimation of high-dimensional nonparanormal graphical models
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