2014/03/05 by Antonino Abbruzzo, Ivan Vujaci, Abbruzzo, Antonino +7
Computer Science · Mathematics · #Advanced Statistical Methods and Models #Bayesian Methods and Mixture Models #Bayesian Modeling and Causal Inference #FOS: Computer and information sciences #Methodology (stat.ME) #Statistical Methods and Inference #stat.ME
paper · pdf · doi:10.48550/arxiv.1403.1249
arxiv created 2014/03/05 · openalex publication_date 2014/03/05 · arxiv updated 2014/03/06 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28
This paper introduces an estimator of the relative directed distance between an estimated model and the true model, based on the Kulback-Leibler divergence and is motivated by the generalized information criterion proposed by Konishi and Kitagawa. This estimator can be used to select model in penalized Gaussian copula graphical models. The use of this estimator is not feasible for high-dimensional cases. However, we derive an efficient way to compute this estimator which is feasible for the latter class of problems. Moreover, this estimator is, generally, appropriate for several penalties such as lasso, adaptive lasso and smoothly clipped absolute deviation penalty. Simulations show that the method performs similarly to KL oracle estimator and it also improves BIC performance in terms of support recovery of the graph. Specifically, we compare our method with Akaike information criterion, Bayesian information criterion and cross validation for band, sparse and dense network structures.