Scaling it up: stochastic search structure learning in graphical models
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Bayesian inferencestructural learningbi-directed graphblock Gibbsconcentration graph modelscovariance graph modelscredit default swapundirected graph
Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Learning and adaptive systems in artificial intelligence (68T05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Graphical methods in statistics (62A09)
Abstract: Gaussian concentration graph models and covariance graph models are two classes of graphical models that are useful for uncovering latent dependence structures among multivariate variables. In the Bayesian literature, graphs are often determined through the use of priors over the space of positive definite matrices with fixed zeros, but these methods present daunting computational burdens in large problems. Motivated by the superior computational efficiency of continuous shrinkage priors for regression analysis, we propose a new framework for structure learning that is based on continuous spike and slab priors and uses latent variables to identify graphs. We discuss model specification, computation, and inference for both concentration and covariance graph models. The new approach produces reliable estimates of graphs and efficiently handles problems with hundreds of variables.
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