Ranking Edges and Model Selection in High-Dimensional Graphs

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dc.contributor.author Lafit, Ginette
dc.contributor.author Nogales Martín, Francisco Javier
dc.contributor.author Zamar, Rubén
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2015-05-20T11:42:03Z
dc.date.available 2015-05-20T11:42:03Z
dc.date.issued 2015-05-01
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/20778
dc.description.abstract In this article we present an approach to rank edges in a network modeled through a Gaussian Graphical Model. We obtain a path of precision matrices such that, in each step of the procedure, an edge is added. We also guarantee that the matrices along the path are symmetric and positive definite. To select the edges, we estimate the covariates that have the largest absolute correlation with a node conditional to the set of edges estimated in previous iterations. Simulation studies show that the procedure is able to detect true edges until the sparsity level of the population network is recovered. Moreover, it can add efficiently true edges in the first iterations avoiding to enter false ones. We show that the top-rank edges are associated with the largest partial correlated variables. Finally, we compare the graph recovery performance with that of Glasso under different settings.
dc.description.sponsorship The research of Ginette Lafit and Francisco J. Nogales is supported by the Spanish Government through project MTM2013-44902-P
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 15-11
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other High-dimensional statistics
dc.subject.other Precision Matrix
dc.subject.other Covariance selection
dc.subject.other Gaussian Graphical Models
dc.subject.other Edge Ranking
dc.subject.other Least Angle Regression
dc.title Ranking Edges and Model Selection in High-Dimensional Graphs
dc.type workingPaper
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. MTM2013-44902-P
dc.type.version submitedVersion
dc.identifier.uxxi DT/0000001371
dc.identifier.repec ws1511
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