Robust estimators for nondecomposable elliptical graphical models

DOI10.1093/BIOMET/ASU041MaRDI QIDQ2934766zbMATH OpenOpenAlexFDO

Authors Daniel Vogel, David E. Tyler

Publication date 22 December 2014

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.5251

zbMATH Keywords

affine equivariancedeviance testGaussian graphical modelM-estimatorpartial correlation

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12)

Abstract: Asymptotic properties of scatter estimators for elliptical graphical models are studied. Such models impose a given pattern of zeros on the inverse of the shape matrix of an elliptically distributed random vector. In particular, we introduce the class of graphical M-estimators and compare them to plug-in M-estimators. It turns out that, under suitable conditions, both approaches yield the same asymptotic efficiency. Furthermore, the results of this paper apply to both decomposable and non-decomposable graphical models and so generalize the results for decomposable models given by Vogel & Fried (2011) for the plug-in M-estimators.

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