A partial graphical model with a structural prior on the direct links between predictors and responses

DOI10.1051/PS/2021010zbMATH Open1469.62282arXiv2003.11869OpenAlexW3168248413MaRDI QIDQ5000397FDOQ5000397

Pascal Jézéquel, Eunice Okome Obiang, Frédéric Proïa

Publication date: 13 July 2021

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: This paper is devoted to the estimation of a partial graphical model with a structural Bayesian penalization. Precisely, we are interested in the linear regression setting where the estimation is made through the direct links between potentially high-dimensional predictors and multiple responses, since it is known that Gaussian graphical models enable to exhibit direct links only, whereas coefficients in linear regressions contain both direct and indirect relations (due extit{e.g.} to strong correlations among the variables). A smooth penalty reflecting a generalized Gaussian Bayesian prior on the covariates is added, either enforcing patterns (like row structures) in the direct links or regulating the joint influence of predictors. We give a theoretical guarantee for our method, taking the form of an upper bound on the estimation error arising with high probability, provided that the model is suitably regularized. Empirical studies on synthetic data and a real dataset are conducted.

Full work available at URL: https://arxiv.org/abs/2003.11869

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zbMATH Keywords

convex optimizationsparsityhigh-dimensional linear regressionpartial graphical modelstructural penalization

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Parametric inference under constraints (62F30)

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Cited In (1)

• A Bayesian approach for partial Gaussian graphical models with sparsity

Uses Software

• bayesm
• fda (R)
• glasso

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