Joint estimation of multiple graphical models from high dimensional time series

Huitong Qiu, Fang Han, Han Liu, Brian Caffo*

*Corresponding author for this work

Research output: Contribution to journalArticle

27 Scopus citations

Abstract

We consider the problem of jointly estimating multiple graphical models in high dimensions. We assume that the data are collected from n subjects, each of which consists of T possibly dependent observations. The graphical models of subjects vary, but are assumed to change smoothly corresponding to a measure of closeness between subjects. We propose a kernel-based method for jointly estimating all graphical models. Theoretically, under a double asymptotic framework, where both (T,n) and the dimension d can increase, we provide an explicit rate of convergence in parameter estimation. It characterizes the strength that one can borrow across different individuals and the effect of data dependence on parameter estimation. Empirically, experiments on both synthetic and real resting state functional magnetic resonance imaging data illustrate the effectiveness of the method proposed.

Original languageEnglish (US)
Pages (from-to)487-504
Number of pages18
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume78
Issue number2
DOIs
StatePublished - Mar 1 2016

Keywords

  • Conditional independence
  • Graphical model
  • High dimensional data
  • Rate of convergence
  • Time series

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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