Skip to yearly menu bar Skip to main content


Poster

High Dimensional Transelliptical Graphical Models

Han Liu · Fang Han

Harrah’s Special Events Center 2nd Floor

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. Thorough numerical experiments are provided to back up our theory.

Live content is unavailable. Log in and register to view live content