Locally associated graphical models and mixed convex exponential families
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Publication:6346867
DOI10.1214/22-AOS2219arXiv2008.04688WikidataQ115517647 ScholiaQ115517647MaRDI QIDQ6346867FDOQ6346867
Authors: Steffen Lauritzen, Piotr Zwiernik 
Publication date: 11 August 2020
Abstract: The notion of multivariate total positivity has proved to be useful in finance and psychology but may be too restrictive in other applications. In this paper we propose a concept of local association, where highly connected components in a graphical model are positively associated and study its properties. Our main motivation comes from gene expression data, where graphical models have become a popular exploratory tool. The models are instances of what we term mixed convex exponential families and we show that a mixed dual likelihood estimator has simple exact properties for such families as well as asymptotic properties similar to the maximum likelihood estimator. We further relax the positivity assumption by penalizing negative partial correlations in what we term the positive graphical lasso. Finally, we develop a GOLAZO algorithm based on block-coordinate descent that applies to a number of optimization procedures that arise in the context of graphical models, including the estimation problems described above. We derive results on existence of the optimum for such problems.
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22)
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