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Statistical Inference for Pairwise Graphical Models Using Score Matching
Ming Yu · Mladen Kolar · Varun Gupta

Tue Dec 06 09:00 AM -- 12:30 PM (PST) @ Area 5+6+7+8 #102
Probabilistic graphical models have been widely used to model complex systems and aid scientific discoveries. As a result, there is a large body of literature focused on consistent model selection. However, scientists are often interested in understanding uncertainty associated with the estimated parameters, which current literature has not addressed thoroughly. In this paper, we propose a novel estimator for edge parameters for pairwise graphical models based on Hyv\"arinen scoring rule. Hyv\"arinen scoring rule is especially useful in cases where the normalizing constant cannot be obtained efficiently in a closed form. We prove that the estimator is $\sqrt{n}$-consistent and asymptotically Normal. This result allows us to construct confidence intervals for edge parameters, as well as, hypothesis tests. We establish our results under conditions that are typically assumed in the literature for consistent estimation. However, we do not require that the estimator consistently recovers the graph structure. In particular, we prove that the asymptotic distribution of the estimator is robust to model selection mistakes and uniformly valid for a large number of data-generating processes. We illustrate validity of our estimator through extensive simulation studies.

Author Information

Ming Yu (The University of Chicago)
Mladen Kolar (U Chicago)
Varun Gupta (University of Chicago)

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