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

DOI10.1016/J.SPL.2016.11.003zbMATH Open1463.62170arXiv1610.00316OpenAlexW2529527163MaRDI QIDQ504465FDOQ504465

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

Publication date: 16 January 2017

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

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.

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

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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)

Cites Work

• Introduction to Graphical Modelling
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Cited In (3)

• Title not available (Why is that?)
• Exact test theory in Gaussian graphical models
• Loss function, unbiasedness, and optimality of Gaussian graphical model selection

Uses Software

• MIM

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