Asymptotic Bayesian structure learning using graph supports for Gaussian graphical models

Guillaume Marrelec and Habib Benali

Journal of Multivariate Analysis, 2006, vol. 97, issue 6, 1451-1466

Abstract: The theory of Gaussian graphical models is a powerful tool for independence analysis between continuous variables. In this framework, various methods have been conceived to infer independence relations from data samples. However, most of them result in stepwise, deterministic, descent algorithms that are inadequate for solving this issue. More recent developments have focused on stochastic procedures, yet they all base their research on strong a priori knowledge and are unable to perform model selection among the set of all possible models. Moreover, convergence of the corresponding algorithms is slow, precluding applications on a large scale. In this paper, we propose a novel Bayesian strategy to deal with structure learning. Relating graphs to their supports, we convert the problem of model selection into that of parameter estimation. Use of non-informative priors and asymptotic results yield a posterior probability for independence graph supports in closed form. Gibbs sampling is then applied to approximate the full joint posterior density. We finally give three examples of structure learning, one from synthetic data, and the two others from real data.

Keywords: Bayesian; analysis; Partial; correlation; coefficients; Gaussian; graphical; models; Conditional; independence; graphs; Gibbs; sampler (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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