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Title:

Estimation of high-dimensional graphical models using regularized score matching

Document type:
Zeitschriftenaufsatz
Author(s):
Lin, Lina; Drton, Mathias; Shojaie, Ali
Abstract:
Graphical models are widely used to model stochastic dependences among large collections of variables. We introduce a new method of estimating undirected conditional independence graphs based on the score matching loss, introduced by Hyvärinen (2005), and subsequently extended in Hyvärinen (2007). The regularized score matching method we propose applies to settings with continuous observations and allows for computationally efficient treatment of possibly non-Gaussian exponential family models....     »
Keywords:
Conditional independence graph, exponential family, graphical model, high-dimensional statistics, score matching, sparsity
Dewey Decimal Classification:
510 Mathematik
Journal title:
Electronic Journal of Statistics
Year:
2016
Journal volume:
10
Year / month:
2016-04
Quarter:
2. Quartal
Month:
Apr
Journal issue:
1
Pages contribution:
806-854
Language:
en
Fulltext / DOI:
doi:10.1214/16-ejs1126
WWW:
Project Euclid
Publisher:
Institute of Mathematical Statistics
E-ISSN:
1935-7524
Date of publication:
06.04.2016
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