Indirect Gaussian Graph Learning beyond Gaussianity
Machine Learning
2019-12-03 v4 Methodology
Abstract
This paper studies how to capture dependency graph structures from real data which may not be Gaussian. Starting from marginal loss functions not necessarily derived from probability distributions, we utilize an additive over-parametrization with shrinkage to incorporate variable dependencies into the criterion. An iterative Gaussian graph learning algorithm is proposed with ease in implementation. Statistical analysis shows that the estimators achieve satisfactory accuracy with the error measured in terms of a proper Bregman divergence. Real-life examples in different settings are given to demonstrate the efficacy of the proposed methodology.
Cite
@article{arxiv.1610.02590,
title = {Indirect Gaussian Graph Learning beyond Gaussianity},
author = {Yiyuan She and Shao Tang and Qiaoya Zhang},
journal= {arXiv preprint arXiv:1610.02590},
year = {2019}
}