High-dimensional Gaussian graphical model selection: walk summability and local separation criterion

MaRDI QIDQ5405191zbMATH OpenFDO

Authors Animashree Anandkumar, Vincent Y. F. Tan, Furong Huang, Alan S. Willsky

Publication date 1 April 2014

Full work available at URL https://arxiv.org/abs/1107.1270, http://www.jmlr.org/papers/v13/anandkumar12a.html

zbMATH Keywords

local-separation propertyhigh-dimensional learningGaussian graphical model selectionwalk-summabilitynecessary conditions for model selection

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Measures of association (correlation, canonical correlation, etc.) (62H20) Probabilistic graphical models (62H22) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: We consider the problem of high-dimensional Gaussian graphical model selection. We identify a set of graphs for which an efficient estimation algorithm exists, and this algorithm is based on thresholding of empirical conditional covariances. Under a set of transparent conditions, we establish structural consistency (or sparsistency) for the proposed algorithm, when the number of samples n=omega(J_{min}^{-2} log p), where p is the number of variables and J_{min} is the minimum (absolute) edge potential of the graphical model. The sufficient conditions for sparsistency are based on the notion of walk-summability of the model and the presence of sparse local vertex separators in the underlying graph. We also derive novel non-asymptotic necessary conditions on the number of samples required for sparsistency.

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(18)

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