The maximum likelihood threshold of a path diagram

DOI10.1214/18-AOS1724MaRDI QIDQ2414096zbMATH OpenWikidataFDO

Authors Mathias Drton, Andreas Käufl, Guillaume Allaire Pouliot, Christopher Fox

Publication date 10 May 2019

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.05485, https://projecteuclid.org/euclid.aos/1550026848

zbMATH Keywords

maximum likelihoodstructural equation modelnormal distributioncovariance matrixgraphical modelpath diagram

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

Abstract: Linear structural equation models postulate noisy linear relationships between variables of interest. Each model corresponds to a path diagram, which is a mixed graph with directed edges that encode the domains of the linear functions and bidirected edges that indicate possible correlations among noise terms. Using this graphical representation, we determine the maximum likelihood threshold, that is, the minimum sample size at which the likelihood function of a Gaussian structural equation model is almost surely bounded. Our result allows the model to have feedback loops and is based on decomposing the path diagram with respect to the connected components of its bidirected part. We also prove that if the sample size is below the threshold, then the likelihood function is almost surely unbounded. Our work clarifies, in particular, that standard likelihood inference is applicable to sparse high-dimensional models even if they feature feedback loops.

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(9)

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• A bridge between invariant theory and maximum likelihood estimation
• Existence and uniqueness of the Kronecker covariance MLE

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