Learning partial correlation graphs and graphical models by covariance queries
ICREA（加泰罗尼亚研究与高级研究所）；Pompeu Fabra University（庞培法布拉大学）；Barcelona School of Economics（巴塞罗那经济学院）；LIRMM（蒙彼利埃计算机科学与微电子实验室）；CNRS（法国国家科学研究中心）；Université de Montpellier（蒙彼利埃大学）；University of Gothenburg（哥德堡大学）；Hebrew University of Jerusalem（耶路撒冷希伯来大学）
Gábor Lugosi, Jakub Truszkowski, Vasiliki Velona, Piotr Zwiernik
备注：
The title of the paper was changed. The previous title was 'Structure learning in graphical models by covariance queries'. Other minor changes suggested by referees were also implemented
We study the problem of recovering the structure underlying large Gaussian graphical models or, more generally, partial correlation graphs. In high-dimensional problems it is often too costly to store the entire sample covariance matrix. We propose a new input model in which one can query single entries of the covariance matrix. We prove that it is possible to recover the support of the inverse covariance matrix with low query and computational complexity. Our algorithms work in a regime when this support is represented by tree-like graphs and, more generally, for graphs of small treewidth. Our results demonstrate that for large classes of graphs, the structure of the corresponding partial correlation graphs can be determined much faster than even computing the empirical covariance matrix.
Block-diagonal covariance selection for high-dimensional Gaussian graphical models
KU Leuven（鲁汶大学）；Leuven Statistics Research Center (LStat)（鲁汶统计研究中心）；Université Paris Descartes（巴黎笛卡尔大学）；CNRS（法国国家科学研究中心）；Université Paris-Sud（巴黎南大学）；INRA（法国国家农业研究院）
University of California, Santa Barbara（加州大学圣巴巴拉分校）
Building on a recent framework for distributionally robust optimization, we consider estimation of the inverse covariance matrix for multivariate data. We provide a novel notion of a Wasserstein ambiguity set specifically tailored to this estimation problem, leading to a tractable class of regularized estimators. Special cases include penalized likelihood estimators for Gaussian data, specifically the graphical lasso estimator. As a consequence of this formulation, the radius of the Wasserstein ambiguity set is directly related to the regularization parameter in the estimation problem. Using t…
Directed graphical models specify noisy functional relationships among a collection of random variables. In the Gaussian case, each such model corresponds to a semi-algebraic set of positive definite covariance matrices. The set is given via parametrization, and much work has gone into obtaining an implicit description in terms of polynomial (in-)equalities. Implicit descriptions shed light on problems such as parameter identification, model equivalence, and constraint-based statistical inference. For models given by directed acyclic graphs, which represent settings where all relevant variable…
Testing properties of trees in graphical models with covariance queries
IMTECH and Departament de Matemàtiques, Universitat Politècnica de Catalunya, Barcelona, Spain and Department of Economics and Business, Pompeu Fabra University, Barcelona, Spain（IMTECH 和 巴塞罗那理工大学数学系及巴塞罗那庞培法华大学经济与商业系，西班牙巴塞罗那）；LPSM, Sorbonne Université, 4 Place Jussieu, 75005 Paris, France（巴黎索邦大学LPSM，法国巴黎，4 Place Jussieu, 75005）；ICREA, Pg. Lluís Companys 23, 08010 Barcelona, Spain（ICREA，西班牙巴塞罗那Lluís Companys 23号，08010；巴塞罗那庞培法华大学经济与商业系，西班牙巴塞罗那；巴塞罗那经济学院）；Department of Economics and Business, Pompeu Fabra University, Barcelona, Spain（巴塞罗那庞培法华大学经济与商业系，西班牙巴塞罗那；巴塞罗那经济学院）；Barcelona School of Economics；Department of Economics and Business, Pompeu Fabra University, Barcelona, Spain；Barcelona School of Economics
Graphical model selection is a seemingly impossible task when many pairs of variables are never jointly observed; this requires inference of conditional dependencies with no observations of corresponding marginal dependencies. This under-explored statistical problem arises in neuroimaging, for example, when different partially overlapping subsets of neurons are recorded in non-simultaneous sessions. We call this statistical challenge the "Graph Quilting" problem. We study this problem in the context of sparse inverse covariance learning, and focus on Gaussian graphical models where we show tha…
The covariance structure of multivariate functional data can be highly complex, especially if the multivariate dimension is large, making extensions of statistical methods for standard multivariate data to the functional data setting challenging. For example, Gaussian graphical models have recently been extended to the setting of multivariate functional data by applying multivariate methods to the coefficients of truncated basis expansions. However, a key difficulty compared to multivariate data is that the covariance operator is compact, and thus not invertible. The methodology in this paper …
This paper develops a new statistical inference theory for the precision matrix of high-frequency data in a high-dimensional setting. The focus is not only on point estimation but also on interval estimation and hypothesis testing for entries of the precision matrix. To accomplish this purpose, we establish an abstract asymptotic theory for the weighted graphical Lasso and its de-biased version without specifying the form of the initial covariance estimator. We also extend the scope of the theory to the case that a known factor structure is present in the data. The developed theory is applied …
The precision matrix that encodes conditional linear dependency relations among a set of variables forms an important object of interest in multivariate analysis. Sparse estimation procedures for precision matrices such as the graphical lasso (Glasso) gained popularity as they facilitate interpretability, thereby separating pairs of variables that are conditionally dependent from those that are independent (given all other variables). Glasso lacks, however, robustness to outliers. To overcome this problem, one typically applies a robust plug-in procedure where the Glasso is computed from a rob…
Gaussian graphical models are semi-algebraic subsets of the cone of positive definite covariance matrices. They are widely used throughout natural sciences, computational biology and many other fields. Computing the vanishing ideal of the model gives us an implicit description of the model. In this paper, we resolve two conjectures of Sturmfels and Uhler from \cite{BS n CU}. In particular, we characterize those graphs for which the vanishing ideal of the Gaussian graphical model is generated in degree $1$ and $2$. These turn out to be the Gaussian graphical models whose ideals are toric ideals…
A precision matrix is the inverse of a covariance matrix. In this paper, we study the problem of estimating the precision matrix with a known graphical structure under high-dimensional settings. We propose a simple estimator of the precision matrix based on the connection between the known graphical structure and the precision matrix. We obtain the rates of convergence of the proposed estimators and derive the asymptotic normality of the proposed estimator in the high-dimensional setting when the data dimension grows with the sample size. Numerical simulations are conducted to demonstrate the …
High-Dimensional Gaussian Graphical Model Selection: Walk Summability and Local Separation Criterion
Center for Pervasive Communications and Computing（普适通信与计算中心）；University of California, Irvine（加利福尼亚大学欧文分校）；University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；Laboratory for Information and Decision Systems（信息与决策系统实验室）；Massachusetts Institute of Technology（麻省理工学院）
A graphical model provides a compact and efficient representation of the association structure of a multivariate distribution by means of a graph. Relevant features of the distribution are represented by vertices, edges and other higher-order graphical structures, such as cliques or paths. Typically, paths play a central role in these models because they determine the independence relationships among variables. However, while a theory of path coefficients is available in models for directed graphs, little has been investigated about the strength of the association represented by a path in an u…
In this paper we study linear non-Gaussian graphical models from the perspective of algebraic statistics. These are acyclic causal models in which each variable is a linear combination of its direct causes and independent noise. The underlying directed causal graph can be identified uniquely via the set of second and third order moments of all random vectors that lie in the corresponding model. Our focus is on finding the algebraic relations among these moments for a given graph. We show that when the graph is a polytree these relations form a toric ideal. We construct explicit trek-matrices a…
Community detection for binary graphical models in high dimension
Univ. Grenoble Alpes, CNRS, Inria, Grenoble INP（格勒诺布尔阿尔卑斯大学、法国国家科学研究中心、法国国家信息与自动化研究所、格勒诺布尔理工学院）；Institute of Mathematics, Federal University of Rio de Janeiro（里约热内卢联邦大学数学研究所）
For multivariate stationary time series many important properties, such as partial correlation, graphical models and autoregressive representations are encoded in the inverse of its spectral density matrix. This is not true for nonstationary time series, where the pertinent information lies in the inverse infinite dimensional covariance matrix operator associated with the multivariate time series. This necessitates the study of the covariance of a multivariate nonstationary time series and its relationship to its inverse. We show that if the rows/columns of the infinite dimensional covariance …
