Sparse covariance estimation in heterogeneous samples
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Gaussian graphical modelcovariance selectionhidden Markov modelmixture modelDirichlet processnonparametric Bayes inference
Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Abstract: Standard Gaussian graphical models (GGMs) implicitly assume that the conditional independence among variables is common to all observations in the sample. However, in practice, observations are usually collected form heterogeneous populations where such assumption is not satisfied, leading in turn to nonlinear relationships among variables. To tackle these problems we explore mixtures of GGMs; in particular, we consider both infinite mixture models of GGMs and infinite hidden Markov models with GGM emission distributions. Such models allow us to divide a heterogeneous population into homogenous groups, with each cluster having its own conditional independence structure. The main advantage of considering infinite mixtures is that they allow us easily to estimate the number of number of subpopulations in the sample. As an illustration, we study the trends in exchange rate fluctuations in the pre-Euro era. This example demonstrates that the models are very flexible while providing extremely interesting interesting insights into real-life applications.
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