A localization approach to improve iterative proportional scaling in Gaussian graphical models

DOI10.1080/03610920802238662MaRDI QIDQ3585266zbMATH OpenOpenAlexFDO

Authors Hisayuki Hara, Akimichi Takemura

Publication date 19 August 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.2581

zbMATH Keywords

chordal extensionchordal graphcovariance selectionmaximum likelihood

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: We discuss an efficient implementation of the iterative proportional scaling procedure in the multivariate Gaussian graphical models. We show that the computational cost can be reduced by localization of the update procedure in each iterative step by using the structure of a decomposable model obtained by triangulation of the graph associated with the model. Some numerical experiments demonstrate the competitive performance of the proposed algorithm.

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Cited in

(5)

• Local computations of the iterative proportional scaling procedure for hierarchical models
• Multiplicity adjustment for temporal and spatial scan statistics using Markov property
• Standard imsets for undirected and chain graphical models
• An improved Hara-Takamura procedure by sharing computations on junction tree in Gaussian graphical models
• On some algorithms for estimation in Gaussian graphical models

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