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Restricted concentration models - Graphical Gaussian models with concentration parameters restricted to being equal

Abstract:
In this paper we introduce restricted concentration models (RCMs) as a class of graphical models for the multivariate Gaussian distribution in which some elements of the concentration matrix are restricted to being identical is introduced. An estimation algorithm for RCMs, which is guaranteed to converge to the maximum likelihood estimate, is presented. Model selection is briefly discussed and a practical example is given.

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Authors


Højsgaard, S More by this author
Lauritzen, S More by this author
Journal:
AISTATS 2005 - Proceedings of the 10th International Workshop on Artificial Intelligence and Statistics
Pages:
152-157
Publication date:
2005
URN:
uuid:4c70cf78-6cd3-44e3-a359-2fc06bc4ef60
Source identifiers:
341494
Local pid:
pubs:341494
Language:
English

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