Robust and sparse gaussian graphical modelling under cell-wise contamination

Shota Katayama, Hironori Fujisawa, Mathias Drton

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Graphical modelling explores dependences among a collection of variables by inferring a graph that encodes pairwise conditional independences. For jointly Gaussian variables, this translates into detecting the support of the precision matrix. Many modern applications feature high-dimensional and contaminated data that complicate this task. In particular, traditional robust methods that down-weight entire observation vectors are often inappropriate as high-dimensional data may feature partial contamination in many observations. We tackle this problem by giving a robust method for sparse precision matrix estimation based on the γ-divergence under a cell-wise contamination model. Simulation studies demonstrate that our procedure outperforms existing methods especially for highly contaminated data.

Original languageEnglish
Article numbere181
JournalStat
Volume7
Issue number1
DOIs
Publication statusPublished - 2018 Jan 1
Externally publishedYes

Keywords

  • Cell-wise contamination
  • Gaussian graphical modelling
  • Precision matrix
  • Robust inference
  • Sparsity

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Robust and sparse gaussian graphical modelling under cell-wise contamination'. Together they form a unique fingerprint.

  • Cite this