An empirical Bayes procedure for the selection of Gaussian graphical models
From MaRDI portal
Publication:693346
Abstract: A new methodology for model determination in decomposable graphical Gaussian models is developed. The Bayesian paradigm is used and, for each given graph, a hyper inverse Wishart prior distribution on the covariance matrix is considered. This prior distribution depends on hyper-parameters. It is well-known that the models's posterior distribution is sensitive to the specification of these hyper-parameters and no completely satisfactory method is registered. In order to avoid this problem, we suggest adopting an empirical Bayes strategy, that is a strategy for which the values of the hyper-parameters are determined using the data. Typically, the hyper-parameters are fixed to their maximum likelihood estimations. In order to calculate these maximum likelihood estimations, we suggest a Markov chain Monte Carlo version of the Stochastic Approximation EM algorithm. Moreover, we introduce a new sampling scheme in the space of graphs that improves the add and delete proposal of Armstrong et al. (2009). We illustrate the efficiency of this new scheme on simulated and real datasets.
Recommendations
Cites work
- scientific article; zbMATH DE number 4211299 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3441460 (Why is no real title available?)
- A stochastic approximation type EM algorithm for the mixture problem
- An application of MCMC methods for the multiple change-points problem.
- Asymptotic properties of a stochastic EM Algorithm for estimating mixing proportions
- Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
- Convergence of a stochastic approximation version of the EM algorithm
- Coupling a stochastic approximation version of EM with an MCMC procedure
- Decomposable graphical Gaussian model determination
- Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
- Efficient estimation of covariance selection models
- Empirical Bayes on vector observations: An extension of Stein's method
- Experiments in stochastic computation for high-dimensional graphical models
- Families of minimax estimators of the mean of a multivariate normal distribution
- Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models
- Hyper Markov laws in the statistical analysis of decomposable graphical models
- Limiting the Risk of Bayes and Empirical Bayes Estimators--Part I: The Bayes Case
- Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
- Maximum likelihood estimation in nonlinear mixed effects models
- Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
- Model selection for Gaussian concentration graphs
- Multivariate empirical Bayes and estimation of covariance matrices
- Objective Bayesian model selection in Gaussian graphical models
- Parametric Empirical Bayes Inference: Theory and Applications
- Simulation of hyper-inverse Wishart distributions in graphical models
- Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
- The EM Algorithm and Extensions, 2E
- Wishart distributions for decomposable graphs
Cited in
(15)- scientific article; zbMATH DE number 7070803 (Why is no real title available?)
- Bayesian graph selection consistency under model misspecification
- Decomposable graphical Gaussian model determination
- Efficient Gaussian graphical model determination under G-Wishart prior distributions
- Bayesian inference of clustering and multiple Gaussian graphical models selection
- A focused information criterion for graphical models
- Robust Bayesian graphical modeling using Dirichlet \(t\)-distributions
- Selecting the tuning parameter in penalized Gaussian graphical models
- Bayesian graphical model determination using decision theory
- Empirical Bayesian learning in AR graphical models
- Tuning parameter selection for penalized likelihood estimation of Gaussian graphical model
- Robust Bayesian model selection for variable clustering with the Gaussian graphical model
- An Expectation Conditional Maximization Approach for Gaussian Graphical Models
- Objective Bayesian model selection in Gaussian graphical models
- scientific article; zbMATH DE number 5957252 (Why is no real title available?)
This page was built for publication: An empirical Bayes procedure for the selection of Gaussian graphical models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693346)
