Uniformly most powerful unbiased test for conditional independence in Gaussian graphical model

DOI10.1016/J.SPL.2016.11.003MaRDI QIDQ504465zbMATHOpenAlexFDO

Authors Panos M. Pardalos, Petr A. Koldanov, Alexander P. Koldanov, Valery A. Kalyagin

Publication date 16 January 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.00316

zbMATH Keywords

multivariate normal distributionconditional independenceexponential familiessample partial correlation testtests of Neyman structureuniformly most powerful unbiased tests

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Probabilistic graphical models (62H22)

Abstract: Model selection for Gaussian concentration graph is based on multiple testing of pairwise conditional independence. In practical applications partial correlation tests are widely used. However it is not known whether partial correlation test is uniformly most powerful for pairwise conditional independence testing. This question is answered in the paper. Uniformly most powerful unbiased test of Neymann structure is obtained. It turns out, that this test can be reduced to usual partial correlation test. It implies that partial correlation test is uniformly most powerful unbiased one.

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Cited in

(4)

• Bayesian hypothesis testing for Gaussian graphical models: conditional independence and order constraints
• Learning unfaithful \(K\)-separable Gaussian graphical models
• Loss function, unbiasedness, and optimality of Gaussian graphical model selection
• Exact test theory in Gaussian graphical models

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