論文

査読有り
2017年9月

Robust sparse Gaussian graphical modeling

Journal of Multivariate Analysis
  • Kei Hirose
  • ,
  • Hironori Fujisawa
  • ,
  • Jun Sese

161
開始ページ
172
終了ページ
190
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.jmva.2017.07.012
出版者・発行元
Elsevier BV

Gaussian graphical modeling is popular as a means of exploring network structures, such as gene regulatory networks and social networks. An L1 penalized maximum likelihood approach is often used to learn high-dimensional graphical models. However, the penalized maximum likelihood procedure is sensitive to outliers. To overcome this problem, we introduce a robust estimation procedure based on the γ-divergence. The proposed method has a redescending property, which is a desirable feature in robust statistics. The parameter estimation procedure is constructed using the Majorize-Minimization algorithm, which guarantees that the objective function monotonically decreases at each iteration. Extensive simulation studies show that our procedure performs much better than the existing methods, in particular, when the contamination ratio is large. Two real data analyses are used for illustration purposes.

リンク情報
DOI
https://doi.org/10.1016/j.jmva.2017.07.012
ID情報
  • DOI : 10.1016/j.jmva.2017.07.012
  • ISSN : 0047-259X

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