Ranking Edges and Model Selection in High-Dimensional Graphs

Rubén Zamar

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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.

Keywords: Precision; Matrix; Covariance; selection; Gaussian; Graphical; Models; Edge; Ranking; Least; Angle; Regression; High-dimensional; statistics (search for similar items in EconPapers)
Date: 2015-05-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws1511

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