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Transelliptical graphical models

Author(s): Liu, H; Han, F; Zhang, CH

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Abstract: We advocate the use of a new distribution family-the transelliptical-for robust inference of high dimensional graphical models. The transelliptical family is an extension of the nonparanormal family proposed by Liu et al. (2009). Just as the nonparanormal extends the normal by transforming the variables using univariate functions, the transelliptical extends the elliptical family in the same way. We propose a nonparametric rank-based regularization estimator which achieves the parametric rates of convergence for both graph recovery and parameter estimation. Such a result suggests that the extra robustness and flexibility obtained by the semiparametric transelliptical modeling incurs almost no efficiency loss. We also discuss the relationship between this work with the transelliptical component analysis proposed by Han and Liu (2012).
Publication Date: 2012
Citation: Liu, Han, Fang Han, and Cun-hui Zhang. "Transelliptical graphical models." In Advances in Neural Information Processing Systems 25, pp. 800-808. 2012.
ISSN: 1049-5258
Pages: 800 - 808
Type of Material: Conference Article
Journal/Proceeding Title: Advances in Neural Information Processing Systems
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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