English

Inconsistency of cross-validation for structure learning in Gaussian graphical models

Statistics Theory 2023-12-29 v1 Machine Learning Methodology Machine Learning Statistics Theory

Abstract

Despite numerous years of research into the merits and trade-offs of various model selection criteria, obtaining robust results that elucidate the behavior of cross-validation remains a challenging endeavor. In this paper, we highlight the inherent limitations of cross-validation when employed to discern the structure of a Gaussian graphical model. We provide finite-sample bounds on the probability that the Lasso estimator for the neighborhood of a node within a Gaussian graphical model, optimized using a prediction oracle, misidentifies the neighborhood. Our results pertain to both undirected and directed acyclic graphs, encompassing general, sparse covariance structures. To support our theoretical findings, we conduct an empirical investigation of this inconsistency by contrasting our outcomes with other commonly used information criteria through an extensive simulation study. Given that many algorithms designed to learn the structure of graphical models require hyperparameter selection, the precise calibration of this hyperparameter is paramount for accurately estimating the inherent structure. Consequently, our observations shed light on this widely recognized practical challenge.

Keywords

Cite

@article{arxiv.2312.17047,
  title  = {Inconsistency of cross-validation for structure learning in Gaussian graphical models},
  author = {Zhao Lyu and Wai Ming Tai and Mladen Kolar and Bryon Aragam},
  journal= {arXiv preprint arXiv:2312.17047},
  year   = {2023}
}

Comments

Preliminary version; 47 pages, 15 figures

R2 v1 2026-06-28T14:03:45.026Z