Objective Bayesian Search of Gaussian Directed Acyclic Graphical Models for Ordered Variables with Non‐Local Priors. Issue 2 (5th April 2013)

• Record Type: Journal Article
• Authors: Altomare, Davide; Consonni, Guido; La Rocca, Luca
• Is Part Of: Biometrics. Volume 69:Issue 2(2013)
• Page Start: 478
• Page End: 487
• Publication Date: 2013-04-05
• Subjects: Biometry -- Periodicals; 570.15195
• DOI: 10.1111/biom.12018
• Languages: English
• ISSNs: 0006-341X

Abstract

<abstract abstract-type="main" xml:lang="en"> <title>Abstract</title> <sec id="biom12018-sec-0001" sec-type="section"> <title>Summary</title> <p>Directed acyclic graphical (DAG) models are increasingly employed in the study of physical and biological systems to model direct influences between variables. Identifying the graph from data is a challenging endeavor, which can be more reasonably tackled if the variables are assumed to satisfy a given ordering; in this case we simply have to estimate the presence or absence of each potential edge. Working under this assumption, we propose an objective Bayesian method for searching the space of Gaussian DAG models, which provides a rich output from minimal input. We base our analysis on <italic>non‐local</italic> parameter priors, which are especially suited for learning sparse graphs, because they allow a faster learning rate, relative to ordinary <italic>local</italic> parameter priors, when the true unknown sampling distribution belongs to a simple model. We implement an efficient stochastic search algorithm, which deals effectively with data sets having sample size smaller than the number of variables, and apply our method to a variety of simulated and real data sets. Our approach compares favorably, in terms of the ROC curve for edge hit rate versus false alarm rate, to current state‐of‐the‐art frequentist methods relying on the assumption of ordered variables; under this assumption it exhibits a competitive advantage over the PC‐algorithm, which can be considered as a frequentist benchmark for unordered variables. Importantly, we find that our method is still at an advantage for learning the skeleton of the DAG, when the ordering of the variables is only moderately mis‐specified. Prospectively, our method could be coupled with a strategy to learn the order of the variables, thus dropping the known ordering assumption.</p> </sec> </abstract>