Abstract:In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used approaches in the literature involve imposing linear restrictions on the covariance matrix or its inverse. Another approach considers linear restrictions on the matrix logarithm of the covariance matrix. In this paper, we present a general framework for linear restrictions on different transformations of the covariance matrix, including the mentioned examples. Our proposed estimation method solves a convex problem and yields an M-estimator, allowing for relatively straightforward asymptotic and finite sample analysis. After developing the general theory, we focus on modelling correlation matrices and on sparsity. Our geometric insights allow to extend various recent results in covariance matrix modelling. This includes providing unrestricted parametrizations of the space of correlation matrices, which is alternative to a recent result utilizing the matrix logarithm.
Abstract:Consider the problem of learning undirected graphical models on trees from corrupted data. Recently Katiyar et al. showed that it is possible to recover trees from noisy binary data up to a small equivalence class of possible trees. Their other paper on the Gaussian case follows a similar pattern. By framing this as a special phylogenetic recovery problem we largely generalize these two settings. Using the framework of linear latent tree models we discuss tree identifiability for binary data under a continuous corruption model. For the Ising and the Gaussian tree model we also provide a characterisation of when the Chow-Liu algorithm consistently learns the underlying tree from the noisy data.
Abstract:We study the problem of recovering the structure underlying large Gaussian graphical models. In high-dimensional problems it is often too costly to store the entire sample covariance matrix. We propose a new input model in which one can query single entries of the sample covariance matrix. We present computationally efficient algorithms for structure recovery in Gaussian graphical models with low query and computational complexity. Our algorithms work in a regime of tree-like graphs and, more generally, for graphs of small treewidth. Our results demonstrate that for large classes of graphs, the structure of the corresponding Gaussian graphical models can be determined much faster than even computing the empirical covariance matrix.
Abstract:Latent tree models are graphical models defined on trees, in which only a subset of variables is observed. They were first discussed by Judea Pearl as tree-decomposable distributions to generalise star-decomposable distributions such as the latent class model. Latent tree models, or their submodels, are widely used in: phylogenetic analysis, network tomography, computer vision, causal modeling, and data clustering. They also contain other well-known classes of models like hidden Markov models, Brownian motion tree model, the Ising model on a tree, and many popular models used in phylogenetics. This article offers a concise introduction to the theory of latent tree models. We emphasise the role of tree metrics in the structural description of this model class, in designing learning algorithms, and in understanding fundamental limits of what and when can be learned.
Abstract:Gaussian latent tree models, or more generally, Gaussian latent forest models have Fisher-information matrices that become singular along interesting submodels, namely, models that correspond to subforests. For these singularities, we compute the real log-canonical thresholds (also known as stochastic complexities or learning coefficients) that quantify the large-sample behavior of the marginal likelihood in Bayesian inference. This provides the information needed for a recently introduced generalization of the Bayesian information criterion. Our mathematical developments treat the general setting of Laplace integrals whose phase functions are sums of squared differences between monomials and constants. We clarify how in this case real log-canonical thresholds can be computed using polyhedral geometry, and we show how to apply the general theory to the Laplace integrals associated with Gaussian latent tree and forest models. In simulations and a data example, we demonstrate how the mathematical knowledge can be applied in model selection.