cglasso: An R Package for Conditional Graphical Lasso Inference with Censored and Missing Values

IF 5.4 2区 计算机科学 Q1 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS
L. Augugliaro, G. Sottile, E. C. Wit, V. Vinciotti
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引用次数: 0

Abstract

Sparse graphical models have revolutionized multivariate inference. With the advent of high-dimensional multivariate data in many applied fields, these methods are able to detect a much lower-dimensional structure, often represented via a sparse conditional independence graph. There have been numerous extensions of such methods in the past decade. Many practical applications have additional covariates or suffer from missing or censored data. Despite the development of these extensions of sparse inference methods for graphical models, there have been so far no implementations for, e.g., conditional graphical models. Here we present the general-purpose package cglasso for estimating sparse conditional Gaussian graphical models with potentially missing or censored data. The method employs an efficient expectation-maximization estimation of an l1-penalized likelihood via a block-coordinate descent algorithm. The package has a user-friendly data manipulation interface. It estimates a solution path and includes various automatic selection algorithms for the two l1 tuning parameters, associated with the sparse precision matrix and sparse regression coefficients, respectively. The package pays particular attention to the visualization of the results, both by means of marginal tables and figures, and of the inferred conditional independence graphs. This package provides a unique and computational efficient implementation of a conditional Gaussian graphical model that is able to deal with the additional complications of missing and censored data. As such it constitutes an important contribution for empirical scientists wishing to detect sparse structures in high-dimensional data.
一个带有删减值和缺失值的条件图形Lasso推理的R包
稀疏图形模型已经彻底改变了多变量推理。随着高维多变量数据在许多应用领域的出现,这些方法能够检测到更低维的结构,通常通过稀疏条件独立图表示。在过去的十年中,这些方法有许多扩展。许多实际应用都有额外的协变量,或者数据丢失或被删减。尽管这些稀疏推理方法在图形模型上的扩展得到了发展,但到目前为止还没有针对条件图形模型的实现。在这里,我们提出了用于估计具有潜在缺失或删节数据的稀疏条件高斯图形模型的通用包类。该方法通过块坐标下降算法对11惩罚似然进行有效的期望最大化估计。这个包有一个用户友好的数据操作界面。它估计了一个解路径,并包括两个l1调优参数的各种自动选择算法,分别与稀疏精度矩阵和稀疏回归系数相关联。该软件包特别注意结果的可视化,既可以通过边缘表和图形,也可以通过推断的条件独立图。这个包提供了一个独特的、计算效率高的条件高斯图形模型实现,该模型能够处理丢失和删除数据的额外复杂性。因此,它构成了希望在高维数据中检测稀疏结构的经验科学家的重要贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Statistical Software
Journal of Statistical Software 工程技术-计算机:跨学科应用
CiteScore
10.70
自引率
1.70%
发文量
40
审稿时长
6-12 weeks
期刊介绍: The Journal of Statistical Software (JSS) publishes open-source software and corresponding reproducible articles discussing all aspects of the design, implementation, documentation, application, evaluation, comparison, maintainance and distribution of software dedicated to improvement of state-of-the-art in statistical computing in all areas of empirical research. Open-source code and articles are jointly reviewed and published in this journal and should be accessible to a broad community of practitioners, teachers, and researchers in the field of statistics.
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