Graphical methods for efficient likelihood inference in Gaussian covariance models

zbMATH Open1225.62031arXiv0708.1321MaRDI QIDQ3096135FDOQ3096135

Authors: Mathias Drton, Thomas S. Richardson 

Publication date: 8 November 2011

Abstract: In graphical modelling, a bi-directed graph encodes marginal independences among random variables that are identified with the vertices of the graph. We show how to transform a bi-directed graph into a maximal ancestral graph that (i) represents the same independence structure as the original bi-directed graph, and (ii) minimizes the number of arrowheads among all ancestral graphs satisfying (i). Here the number of arrowheads of an ancestral graph is the number of directed edges plus twice the number of bi-directed edges. In Gaussian models, this construction can be used for more efficient iterative maximization of the likelihood function and to determine when maximum likelihood estimates are equal to empirical counterparts.

Full work available at URL: https://arxiv.org/abs/0708.1321

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zbMATH Keywords

multivariate normal distributionmaximum likelihood estimationcovariance graphgraphical modelmarginal independenceancestral graph

Mathematics Subject Classification ID

Point estimation (62F10) Multivariate distribution of statistics (62H10) Applications of graph theory (05C90)

Cited In (13)

• The geometry of Gaussian double Markovian distributions
• Linear optimization over homogeneous matrix cones
• On the causal interpretation of acyclic mixed graphs under multivariate normality
• Sparse matrix decompositions and graph characterizations
• Wishart distributions for decomposable covariance graph models
• Determining full conditional independence by low-order conditioning
• Sequences of regressions and their independences
• Graphical lassos for meta‐elliptical distributions
• Conjugate and conditional conjugate Bayesian analysis of discrete graphical models of marginal independence
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• Groups acting on Gaussian graphical models
• A unified framework for structured graph learning via spectral constraints
• Estimation of graphical models through structured norm minimization

Uses Software

• SINGULAR

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