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

DOI10.1080/03610920802238662zbMATH Open1318.62173arXiv0802.2581OpenAlexW2077349636MaRDI QIDQ3585266FDOQ3585266

Authors: Hisayuki Hara, Akimichi Takemura 

Publication date: 19 August 2010

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

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.

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

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zbMATH Keywords

maximum likelihoodcovariance selectionchordal graphchordal extension

Mathematics Subject Classification ID

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

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Cited In (4)

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

Uses Software

• MIM

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