Elliptical graphical modelling

DOI10.1093/BIOMET/ASR037MaRDI QIDQ3107982zbMATH OpenOpenAlexFDO

Authors Daniel Vogel, Roland Fried

Publication date 28 December 2011

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04321

zbMATH Keywords

partial correlationconcentration matrixdeviance testdecomposable modelTyler matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of graph theory (05C90) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Abstract: We propose elliptical graphical models based on conditional uncorrelatedness as a general- ization of Gaussian graphical models by letting the population distribution be elliptical instead of normal, allowing the fitting of data with arbitrarily heavy tails. We study the class of propor- tionally affine equivariant scatter estimators and show how they can be used to perform elliptical graphical modelling, leading to a new class of partial correlation estimators and analogues of the classical deviance test. General expressions for the asymptotic variance of partial correla- tion estimators, unconstrained and under decomposable models, are given, and the asymptotic chi square approximation of the pseudo-deviance test statistic is proved. The feasibility of our approach is demonstrated by a simulation study, using, among others, Tyler's scatter estimator, which is distribution-free within the elliptical model. Our approach provides a robustification of Gaussian graphical modelling. The latter is likelihood-based and known to be very sensitive to model misspecification and outlying observations.

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Cited in

(18)

• A review of Gaussian Markov models for conditional independence
• Inference and mixture modeling with the elliptical Gamma distribution
• A nonparametric test for elliptical distribution based on kernel embedding of probabilities
• Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
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• Nonparanormal graph quilting with applications to calcium imaging
• Estimation of high-dimensional graphical models using regularized score matching
• Elliptical regression operationalized
• ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
• Optimal tests for elliptical symmetry: specified and unspecified location
• Groups acting on Gaussian graphical models
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• Asymptotics of the two-stage spatial sign correlation
• Robust estimators for nondecomposable elliptical graphical models
• Robust methods for inferring sparse network structures
• scientific article; zbMATH DE number 7370576 (Why is no real title available?)
• Dependence in elliptical partial correlation graphs
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