Robust and sparse gaussian graphical modelling under cell-wise contamination

Shota Katayama, Hironori Fujisawa, Mathias Drton

研究成果: Article

1 引用 (Scopus)

抜粋

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.

元の言語English
記事番号e181
ジャーナルStat
7
発行部数1
DOI
出版物ステータスPublished - 2018

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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