Year: 2018
Type: preprint
Abstract: We present a stepwise approach to estimate high dimensional Gaussian graphical models. We exploit the relation between the partial correlation coefficients and the distribution of the prediction errors, and parametrize the model in terms of the Pearson correlation coefficients between the prediction errors of the nodes' best linear predictors. We propose a novel stepwise algorithm for detecting pairs of conditionally dependent variables. We show that the proposed algorithm outperforms existing methods such as the graphical lasso and CLIME in simulation studies and real life applications. In our comparison we report different performance measures that look at different desirable features of the recovered graph and consider several model settings.
Source: arXiv (Cornell University)
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2886376111