Variational Regularized Bilevel Estimation for Exponential Random Graph Models

Yoon Choi

Papers from arXiv.org

Abstract: I propose an estimation algorithm for Exponential Random Graph Models (ERGM), a popular statistical network model for estimating the structural parameters of strategic network formation in economics and finance. Existing methods often produce unreliable estimates of parameters for the triangle, a key network structure that captures the tendency of two individuals with friends in common to connect. Such unreliable estimates may lead to untrustworthy policy recommendations for networks with triangles. Through a variational mean-field approach, my algorithm addresses the two well-known difficulties when estimating the ERGM, the intractability of its normalizing constant and model degeneracy. In addition, I introduce $\ell_2$ regularization that ensures a unique solution to the mean-field approximation problem under suitable conditions. I provide a non-asymptotic optimization convergence rate analysis for my proposed algorithm under mild regularity conditions. Through Monte Carlo simulations, I demonstrate that my method achieves a perfect sign recovery rate for triangle parameters for small and mid-sized networks under perturbed initialization, compared to a 50% rate for existing algorithms. I provide the sensitivity analysis of estimates of ERGM parameters to hyperparameter choices, offering practical insights for implementation.

Date: 2025-12
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