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Titel:

Estimation of high-dimensional graphical models using regularized score matching

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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....     »
Stichworte:
Conditional independence graph, exponential family, graphical model, high-dimensional statistics, score matching, sparsity
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Electronic Journal of Statistics
Jahr:
2016
Band / Volume:
10
Jahr / Monat:
2016-04
Quartal:
2. Quartal
Monat:
Apr
Heft / Issue:
1
Seitenangaben Beitrag:
806-854
Sprache:
en
Volltext / DOI:
doi:10.1214/16-ejs1126
WWW:
Project Euclid
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
1935-7524
Publikationsdatum:
06.04.2016
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