PC algorithm for nonparanormal graphical models

zbMATH Open1318.62197arXiv1207.0242MaRDI QIDQ2933951FDOQ2933951

Authors: Naftali Harris, Mathias Drton 

Publication date: 8 December 2014

Abstract: The PC algorithm uses conditional independence tests for model selection in graphical modeling with acyclic directed graphs. In Gaussian models, tests of conditional independence are typically based on Pearson correlations, and high-dimensional consistency results have been obtained for the PC algorithm in this setting. We prove that high-dimensional consistency carries over to the broader class of Gaussian copula or extit{nonparanormal} models when using rank-based measures of correlation. For graphs with bounded degree, our result is as strong as prior Gaussian results. In simulations, the `Rank PC' algorithm works as well as the `Pearson PC' algorithm for normal data and considerably better for non-normal Gaussian copula data, all the while incurring a negligible increase of computation time. Simulations with contaminated data show that rank correlations can also perform better than other robust estimates considered in previous work when the underlying distribution does not belong to the nonparanormal family.

Full work available at URL: https://arxiv.org/abs/1207.0242

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zbMATH Keywords

model selectionmultivariate normal distributionGaussian copulanonparanormal distributiongraphical model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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