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2021 Bayesian inference for high-dimensional decomposable graphs
Kyoungjae Lee, Xuan Cao
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Electron. J. Statist. 15(1): 1549-1582 (2021). DOI: 10.1214/21-EJS1822

Abstract

In this paper, we consider high-dimensional Gaussian graphical models where the true underlying graph is decomposable. A hierarchical G-Wishart prior is proposed to conduct a Bayesian inference for the precision matrix and its graph structure. Although the posterior asymptotics using the G-Wishart prior has received increasing attention in recent years, most of the results assume moderate high-dimensional settings, where the number of variables p is smaller than the sample size n. However, this assumption might not hold in many real applications such as genomics, speech recognition and climatology. Motivated by this gap, we investigate asymptotic properties of posteriors under the high-dimensional setting where p can be much larger than n. The pairwise Bayes factor consistency, posterior ratio consistency and graph selection consistency are obtained in this high-dimensional setting. Furthermore, the posterior convergence rate for precision matrices under the matrix 1-norm is derived, which is faster than posterior convergence rates obtained in existing literature. A simulation study confirms that the proposed Bayesian procedure outperforms competitors.

Funding Statement

KL was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2020R1A4A1018207) and INHA UNIVERSITY Research Grant. XC was supported by Simons Foundation’s collaboration grant (No.635213) and Taft Summer Research Fellowship at University of Cincinnati.

Acknowledgments

We would like to thank the Editor, the Associate Editor and two reviewers for their insightful comments which have led to improvements of an earlier version of this paper.

Citation

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Kyoungjae Lee. Xuan Cao. "Bayesian inference for high-dimensional decomposable graphs." Electron. J. Statist. 15 (1) 1549 - 1582, 2021. https://doi.org/10.1214/21-EJS1822

Information

Received: 1 April 2020; Published: 2021
First available in Project Euclid: 26 March 2021

Digital Object Identifier: 10.1214/21-EJS1822

Keywords: G-Wishart prior , posterior convergence rate , strong graph selection consistency

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Vol.15 • No. 1 • 2021
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