[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v54y2010i12p3070-3079.html
   My bibliography  Save this article

Robust concentration graph model selection

Author

Listed:
  • Gottard, Anna
  • Pacillo, Simona
Abstract
Concentration graph models are an attractive tool to explore the conditional independence structure in a multivariate normal distribution. In applications, in absence of a priori knowledge, it is possible to select the graph underlying a set of data through an appropriate model selection procedure. The recently proposed procedure, SINful, is appealing but sensitive to outliers, as it utilizes the sample estimator of the covariance matrix. A method to make the SINful procedure robust with respect to the presence of outlying observations, is proposed. This is based on the minimum covariance determinant (MCD) estimator for the variance-covariance matrix. A simulation study shows the advantages of this method.

Suggested Citation

  • Gottard, Anna & Pacillo, Simona, 2010. "Robust concentration graph model selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3070-3079, December.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:12:p:3070-3079
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(08)00555-0
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Anna Gottard & Simona Pacillo, 2007. "On the impact of contaminations in graphical Gaussian models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 343-354, February.
    2. Matías Salibián-Barrera & Stefan Aelst & Gert Willems, 2008. "Fast and robust bootstrap," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(1), pages 41-71, February.
    3. Muller, Samuel & Welsh, A.H., 2005. "Outlier Robust Model Selection in Linear Regression," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1297-1310, December.
    4. Anna Gottard & Simona Pacillo, 2007. "On the impact of contaminations in graphical Gaussian models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 15(3), pages 343-354, February.
    5. Filzmoser, Peter & Maronna, Ricardo & Werner, Mark, 2008. "Outlier identification in high dimensions," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1694-1711, January.
    6. Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2007. "Building a robust linear model with forward selection and stepwise procedures," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 239-248, September.
    7. Agulló, Jose & Croux, Christophe & Van Aelst, Stefan, 2008. "The multivariate least-trimmed squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 311-338, March.
    8. Pison, Greet & Rousseeuw, Peter J. & Filzmoser, Peter & Croux, Christophe, 2003. "Robust factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 145-172, January.
    9. Croux, Christophe & Haesbroeck, Gentiane, 1999. "Influence Function and Efficiency of the Minimum Covariance Determinant Scatter Matrix Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 161-190, November.
    10. Mathias Drton, 2004. "Model selection for Gaussian concentration graphs," Biometrika, Biometrika Trust, vol. 91(3), pages 591-602, September.
    11. Salibian-Barrera, Matias & Van Aelst, Stefan, 2008. "Robust model selection using fast and robust bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5121-5135, August.
    12. Hardin, Johanna & Rocke, David M., 2004. "Outlier detection in the multiple cluster setting using the minimum covariance determinant estimator," Computational Statistics & Data Analysis, Elsevier, vol. 44(4), pages 625-638, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vinciotti, Veronica & Hashem, Hussein, 2013. "Robust methods for inferring sparse network structures," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 84-94.
    2. Tarr, G. & Müller, S. & Weber, N.C., 2016. "Robust estimation of precision matrices under cellwise contamination," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 404-420.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Riani, Marco & Atkinson, Anthony C., 2010. "Robust model selection with flexible trimming," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3300-3312, December.
    2. Andreas Alfons & Wolfgang Baaske & Peter Filzmoser & Wolfgang Mader & Roland Wieser, 2011. "Robust variable selection with application to quality of life research," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(1), pages 65-82, March.
    3. Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2010. "Fast robust estimation of prediction error based on resampling," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3121-3130, December.
    4. Salibian-Barrera, Matias & Van Aelst, Stefan, 2008. "Robust model selection using fast and robust bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5121-5135, August.
    5. Cator, Eric A. & Lopuhaä, Hendrik P., 2010. "Asymptotic expansion of the minimum covariance determinant estimators," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2372-2388, November.
    6. La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015. "Robust heart rate variability analysis by generalized entropy minimization," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
    7. Valéry Dongmo Jiongo & Pierre Nguimkeu, 2018. "Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data," Staff Working Papers 18-28, Bank of Canada.
    8. Jiao, Xiyu & Pretis, Felix & Schwarz, Moritz, 2024. "Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change," Journal of Econometrics, Elsevier, vol. 239(1).
    9. Roelant, E. & Van Aelst, S. & Croux, C., 2009. "Multivariate generalized S-estimators," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 876-887, May.
    10. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
    11. Angela Calvo & Christian Preti & Maria Caria & Roberto Deboli, 2019. "Vibration and Noise Transmitted by Agricultural Backpack Powered Machines Critically Examined Using the Current Standards," IJERPH, MDPI, vol. 16(12), pages 1-20, June.
    12. Lanius, Vivian & Gather, Ursula, 2010. "Robust online signal extraction from multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 966-975, April.
    13. Le Chang & Yanlin Shi, 2024. "A discussion on the robust vector autoregressive models: novel evidence from safe haven assets," Annals of Operations Research, Springer, vol. 339(3), pages 1725-1755, August.
    14. Paindaveine, Davy & Van Bever, Germain, 2014. "Inference on the shape of elliptical distributions based on the MCD," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 125-144.
    15. Samanta, Mayukh & Welsh, A.H., 2013. "Bootstrapping for highly unbalanced clustered data," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 70-81.
    16. Van Aelst, Stefan & Willems, Gert & Zamar, Ruben H., 2013. "Robust and efficient estimation of the residual scale in linear regression," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 278-296.
    17. Christmann, A. & Van Aelst, S., 2006. "Robust estimation of Cronbach's alpha," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1660-1674, August.
    18. Alper Sinan & B. Barıs Alkan, 2015. "A useful approach to identify the multicollinearity in the presence of outliers," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 986-993, May.
    19. Alfons, Andreas & Croux, Christophe & Gelper, Sarah, 2016. "Robust groupwise least angle regression," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 421-435.
    20. Salibian-Barrera, Matias & Van Aelst, Stefan & Yohai, Víctor J., 2016. "Robust tests for linear regression models based on τ-estimates," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 436-455.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:54:y:2010:i:12:p:3070-3079. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.