We present a methodology for Bayesian model choice and averaging in Gaussian directed acyclic graphs (dags). The dimension–changing move in- volves adding or dropping a (directed) edge from the graph. The methodology employs the results in Geiger and Heckerman and searches directly in the space of all dags. Model determination is carried out by implementing a reversible jump Markov Chain Monte Carlo sampler. To achieve this aim we rely on the concept of adjacency matrices, which provides a relatively inexpensive check for acyclicity. The performance of our procedure is illustrated by means of two simulated datasets, as well as one real dataset.

Markov chain monte carlo model determination for gaussian DAG models

GIUDICI, PAOLO STEFANO;
2004

Abstract

We present a methodology for Bayesian model choice and averaging in Gaussian directed acyclic graphs (dags). The dimension–changing move in- volves adding or dropping a (directed) edge from the graph. The methodology employs the results in Geiger and Heckerman and searches directly in the space of all dags. Model determination is carried out by implementing a reversible jump Markov Chain Monte Carlo sampler. To achieve this aim we rely on the concept of adjacency matrices, which provides a relatively inexpensive check for acyclicity. The performance of our procedure is illustrated by means of two simulated datasets, as well as one real dataset.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11571/106154
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