Change point estimation in high dimensional Markov random-field models

• 成果类型: Article
• 署名作者: Roy, Sandipan; Atchade, Yves; Michailidis, George
• 署名单位: University of London; University College London; University of Michigan System; University of Michigan; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/rssb.12205
• 发表日期: 2017
• 页码: 1187-1206
• 关键词: LIKELIHOOD-ESTIMATION; selection; networks

摘要

The paper investigates a change point estimation problem in the context of high dimensional Markov random-field models. Change points represent a key feature in many dynamically evolving network structures. The change point estimate is obtained by maximizing a profile penalized pseudolikelihood function under a sparsity assumption. We also derive a tight bound for the estimate, up to a logarithmic factor, even in settings where the number of possible edges in the network far exceeds the sample size. The performance of the estimator proposed is evaluated on synthetic data sets and is also used to explore voting patterns in the US Senate in the 1979-2012 period.