论文标题

高维动态图形模型的变更点的推断

Inference on the Change Point for High Dimensional Dynamic Graphical Models

论文作者

Kaul, Abhishek, Zhang, Hongjin, Tsampourakis, Konstantinos, Michailidis, George

论文摘要

我们为动态发展的图形模型开发了一个变更点参数的估计器,并在高维度缩放下获得其渐近分布。为了获得后一个结果,我们确定所提出的估计器表现出$ o_p(ψ^{ - 2})$收敛速率,其中$ψ$表示变更点之前和之后的图形模型参数之间的跳跃大小。此外,它保留了对图形模型参数的插件估算的足够适应性。我们表征了跳跃大小的大小的消失和非变化状态下的渐近分布的形式。具体而言,在前一种情况下,它对应于负面不对称的两侧布朗运动的Argmax,而在后一种情况下,与负漂移不对称的两面随机步行的Argmax相对应,其增量取决于图形模型的分布。提供了易于实现的算法,用于估计变更点及其在合成数据上评估的性能。在RNA序列的微生物组数据及其年轻人和年龄较大个体之间的变化上进一步说明了所提出的方法。

We develop an estimator for the change point parameter for a dynamically evolving graphical model, and also obtain its asymptotic distribution under high dimensional scaling. To procure the latter result, we establish that the proposed estimator exhibits an $O_p(ψ^{-2})$ rate of convergence, wherein $ψ$ represents the jump size between the graphical model parameters before and after the change point. Further, it retains sufficient adaptivity against plug-in estimates of the graphical model parameters. We characterize the forms of the asymptotic distribution under the both a vanishing and a non-vanishing regime of the magnitude of the jump size. Specifically, in the former case it corresponds to the argmax of a negative drift asymmetric two sided Brownian motion, while in the latter case to the argmax of a negative drift asymmetric two sided random walk, whose increments depend on the distribution of the graphical model. Easy to implement algorithms are provided for estimating the change point and their performance assessed on synthetic data. The proposed methodology is further illustrated on RNA-sequenced microbiome data and their changes between young and older individuals.

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