Title: Constructing graphical models via the focused information criterion
Authors: Claeskens, Gerda
Pircalabelu, Eugen
Waldorp, Lourens
Issue Date: Mar-2014
Publisher: KU Leuven - Faculty of Economics and Business
Series Title: FEB Research Report KBI_1404
Abstract: A focused information criterion is developed to estimate undirected graphical models where for each node in the graph a generalized linear model is put forward conditioned upon the other nodes in the graph. The proposed method
selects a graph with a small estimated mean squared error for a user-specified focus, which is a function of the parameters in the generalized linear models, by selecting an appropriate model at each node. For situations where the number of nodes is large in comparison with the number of cases, the procedure performs penalized estimation with quadratic approximations to several popular penalties. To show the procedure’s applicability and usefulness we have applied it to two datasets involving voting behavior of U.S. senators and to a clinical dataset on psychopathology.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

Files in This Item:
File Description Status SizeFormat
KBI_1404.pdfConstructing graphical models via the focused information criterion Published 209KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.