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Log-concave density estimation in undirected graphical models
Department of Mathematics and Systems Analysis, Aalto University, Finland.
Department of Computer Science, Aalto University, Finland.
Department of Mathematics, University of British Columbia, Canada.
Department of Mathematics, University of British Columbia, Canada.
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2025 (English)In: Bernoulli, ISSN 1350-7265, E-ISSN 1573-9759, Vol. 31, no 4, p. 2916-2939Article in journal (Refereed) Published
Abstract [en]

We study the problem of maximum likelihood estimation of densities that are log-concave and lie in the graphical model corresponding to a given undirected graph G. More precisely, we assume that each density in our family factorizes according to the graph G and all factors are log-concave. We show that the maximum likelihood estimate (MLE) is the product of the exponentials of several tent functions, one for each maximal clique of G. While the set of log-concave densities in a graphical model is infinite-dimensional, our results imply that the MLE can be found by solving a finite-dimensional convex optimization problem. We provide an implementation and a few examples. Furthermore, we show that the MLE exists and is unique with probability 1 as long as the number of sample points is larger than the size of the largest clique of G when G is chordal. We show that the MLE is consistent when the graph G is a disjoint union of cliques. Finally, we discuss the conditions under which a log-concave density in the graphical model of G has a log-concave factorization according to G.

Place, publisher, year, edition, pages
Bernoulli Society for Mathematical Statistics and Probability , 2025. Vol. 31, no 4, p. 2916-2939
Keywords [en]
Chordal graphs, convex decomposition of functions, graphical models, log-concave density estimation, maximum likelihood estimation
National Category
Probability Theory and Statistics Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-369737DOI: 10.3150/24-BEJ1831ISI: 001544980900016Scopus ID: 2-s2.0-105014019125OAI: oai:DiVA.org:kth-369737DiVA, id: diva2:1997798
Note

QC 20250915

Available from: 2025-09-15 Created: 2025-09-15 Last updated: 2025-09-15Bibliographically approved

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Sodomaco, Luca

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  • apa
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