Marginal likelihood and model selection for Gaussian latent tree and forest models

DOI10.3150/15-BEJ775MaRDI QIDQ520697zbMATH OpenOpenAlexWikidataFDO

Authors Shaowei Lin, Piotr Zwiernik, Mathias Drton, Luca Weihs

Publication date 5 April 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.8285, https://projecteuclid.org/euclid.bj/1486177397

zbMATH Keywords

multivariate normal distributionGaussian graphical modelmarginal likelihoodalgebraic statisticslatent tree modelssingular learning theory

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Parametric inference (62F99)

Abstract: Gaussian latent tree models, or more generally, Gaussian latent forest models have Fisher-information matrices that become singular along interesting submodels, namely, models that correspond to subforests. For these singularities, we compute the real log-canonical thresholds (also known as stochastic complexities or learning coefficients) that quantify the large-sample behavior of the marginal likelihood in Bayesian inference. This provides the information needed for a recently introduced generalization of the Bayesian information criterion. Our mathematical developments treat the general setting of Laplace integrals whose phase functions are sums of squared differences between monomials and constants. We clarify how in this case real log-canonical thresholds can be computed using polyhedral geometry, and we show how to apply the general theory to the Laplace integrals associated with Gaussian latent tree and forest models. In simulations and a data example, we demonstrate how the mathematical knowledge can be applied in model selection.

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Cited in

(5)

• An asymptotic behaviour of the marginal likelihood for general Markov models
• Variational approximation error in non-negative matrix factorization
• The exact asymptotic form of Bayesian generalization error in latent Dirichlet allocation
• The correlation space of Gaussian latent tree models and model selection without fitting
• Consideration on the learning efficiency of multiple-layered neural networks with linear units

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