Change point estimation in high dimensional Markov random‐field models. (26th September 2016)

• Record Type: Journal Article
• Authors: Roy, Sandipan; Atchadé, Yves; Michailidis, George
• Is Part Of: Journal of the Royal Statistical Society. Volume 79:Number 4(2017)
• Page Start: 1187
• Page End: 1206
• Publication Date: 2016-09-26
• Subjects: Change point analysis -- High dimensional inference -- Markov random fields -- Network analysis -- Profile pseudolikelihood; Statistics -- Periodicals; Great Britain -- Statistics -- Periodicals; 519.2
• DOI: 10.1111/rssb.12205
• Languages: English
• ISSNs: 1369-7412

Abstract

Summary: The paper investigates a change point estimation problem in the context of high dimensional Markov random‐field models. Change points represent a key feature in many dynamically evolving network structures. The change point estimate is obtained by maximizing a profile penalized pseudolikelihood function under a sparsity assumption. We also derive a tight bound for the estimate, up to a logarithmic factor, even in settings where the number of possible edges in the network far exceeds the sample size. The performance of the estimator proposed is evaluated on synthetic data sets and is also used to explore voting patterns in the US Senate in the 1979–2012 period.