Algorithm xxx: A Covariate-Dependent Approach to Gaussian Graphical Modeling in R

Abstract

Graphical models are used to capture complex multivariate relationships and have applications in diverse disciplines such as in biology, physics, and economics. Within this field, Gaussian graphical models aim to identify the pairs of variables whose dependence is maintained even after conditioning on the remaining variables in the data, known as the conditional dependence structure of the data. There are many existing software packages for Gaussian graphical modeling, however, they often make restrictive assumptions that reduce their flexibility for modeling data that are not identically distributed. Conversely, covdepGE is a R implementation of a variational weighted pseudo-likelihood algorithm for modeling the conditional dependence structure as a continuous function of an extraneous covariate. To build on the efficiency of this algorithm, covdepGE leverages parallelism and C++ integration with R. Additionally, covdepGE provides fully-automated and data-driven hyperparameter specification while maintaining flexibility for the user to decide key components of the estimation procedure. Through an extensive simulation study spanning diverse settings, covdepGE is demonstrated to be top of its class in recovering the ground-truth conditional dependence structure while efficiently managing computational overhead.