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arXiv 1906.03362cs.LGstat.ML
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Partially Linear Additive Gaussian Graphical Models

Princeton University(普林斯顿大学);Charles H. Dyson School of Applied Economics and Management(查尔斯·H·戴森应用经济与管理学院);University of Chicago(芝加哥大学);University of Illinois at Urbana-Champaign(伊利诺伊大学厄巴纳-香槟分校)

Sinong Geng, Minhao Yan, Mladen Kolar, Oluwasanmi Koyejo

英文摘要:

We propose a partially linear additive Gaussian graphical model (PLA-GGM) for the estimation of associations between random variables distorted by observed confounders. Model parameters are estimated using an $L_1$-regularized maximal pseudo-profile likelihood estimator (MaPPLE) for which we prove $\sqrt{n}$-sparsistency. Importantly, our approach avoids parametric constraints on the effects of confounders on the estimated graphical model structure. Empirically, the PLA-GGM is applied to both synthetic and real-world datasets, demonstrating superior performance compared to competing methods.

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