Rank Likelihood for Bayesian Nonparanormal Graphical Models
share
Gaussian graphical models, where it is assumed that the variables of interest jointly follow a multivariate normal distribution with a sparse precision matrix, have been used to study intrinsic dependence among variables, but the normality assumption may be restrictive in many settings. A nonparanormal graphical model is a semiparametric generalization of a Gaussian graphical model for continuous variables where it is assumed that the variables follow a Gaussian graphical model only after some unknown smooth monotone transformation. We consider a Bayesian approach for the nonparanormal graphical model using a rank likelihood which remains invariant under monotone transformations, thereby avoiding the need to put a prior on the transformation functions. On the underlying precision matrix of the transformed variables, we consider a horseshoe prior on its Cholesky decomposition and use an efficient posterior Gibbs sampling scheme. We present a posterior consistency result on the rank-based transformation. We study the numerical performance of the proposed method through a simulation study and apply it on a real data set.
READ FULL TEXT