We consider the problem of estimating an undirected Gaussian graphical model when the underlying distribution is multivariate totally positive of order 2 (MTP2), a strong form of positive dependence. Such distributions are relevant for example for portfolio selection, since assets are usually positively dependent. A large body of methods have been proposed for learning undirected graphical models without the MTP2 constraint. A major limitation of these methods is that their consistency guarantees in the high-dimensional setting usually require a particular choice of a tuning parameter, which is unknown a priori in real world applications. We here show that an undirected graphical model under MTP2 can be learned consistently without any tuning parameters. This is achieved by a constraint-based estimator that infers the structure of the underlying graphical model by testing the signs of the empirical partial correlation coefficients. We evaluate the performance of our estimator in simulations and on financial data.
A density function @math on @math is if @math where @math denote the coordinate-wise minimum and maximum respectively @cite_13 @cite_3 . In particular, a Gaussian distribution is if and only if its precision matrix @math is an @math -matrix, i.e. @math for all @math @cite_8 @cite_16 . This implies that all partial correlation coefficients are non-negative, i.e., @math for all @math @cite_16 . In addition, for distributions it holds that @math if and only if @math are separated in @math given @math @cite_19 . Hence @math are connected in @math given @math if and only if @math .
@cite_8 @cite_3 @cite_19 @cite_16 @cite_13
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We consider @math Hermitian matrices with i.i.d. entries @math whose tail probabilities @math behave like @math for some @math and @math . We establish a large deviation principle for the empirical spectral measure of @math with speed @math with a good rate function @math that is finite only if @math is of the form @math for some probability measure @math on @math , where @math denotes the free convolution and @math is Wigner's semicircle law. We obtain explicit expressions for @math in terms of the @math th moment of @math . The proof is based on the analysis of large deviations for the empirical distribution of very sparse random rooted networks. We characterize the set of properties of Boolean-valued functions on a finite domain @math that are testable with a constant number of samples. Specifically, we show that a property @math is testable with a constant number of samples if and only if it is (essentially) a @math -part symmetric property for some constant @math , where a property is @math -part symmetric if there is a partition @math of @math such that whether @math satisfies the property is determined solely by the densities of @math on @math . We use this characterization to obtain a number of corollaries, namely: (i) A graph property @math is testable with a constant number of samples if and only if whether a graph @math satisfies @math is (essentially) determined by the edge density of @math . (ii) An affine-invariant property @math of functions @math is testable with a constant number of samples if and only if whether @math satisfies @math is (essentially) determined by the density of @math . (iii) For every constant @math , monotonicity of functions @math on the @math -dimensional hypergrid is testable with a constant number of samples. We study the maximum of a Gaussian field on @math ( @math ) whose correlations decay logarithmically with the distance. Kahane Kah85 introduced this model to construct mathematically the Gaussian multiplicative chaos in the subcritical case. Duplantier, Rhodes, Sheffield and Vargas DRSV12a DRSV12b extended Kahane's construction to the critical case and established the KPZ formula at criticality. Moreover, they made in DRSV12a several conjectures on the supercritical case and on the maximum of this Gaussian field. In this paper we resolve Conjecture 12 in DRSV12a : we establish the convergence in law of the maximum and show that the limit law is the Gumbel distribution convoluted by the limit of the derivative martingale. This text is about spiked models of non Hermitian random matrices. More specifically, we consider matrices of the type @math , where the rank of @math stays bounded as the dimension goes to infinity and where the matrix @math is a non Hermitian random matrix, satisfying an isotropy hypothesis: its distribution is invariant under the left and right actions of the unitary group. The macroscopic eigenvalue distribution of such matrices is governed by the so called Single Ring Theorem, due to Guionnet, Krishnapur and Zeitouni. We first prove that if @math has some eigenvalues out of the maximal circle of the single ring, then @math has some eigenvalues (called outliers) in the neighborhood of those of @math , which is not the case for the eigenvalues of @math in the inner cycle of the single ring. Then, we study the fluctuations of the outliers of @math around the eigenvalues of @math and prove that they are distributed as the eigenvalues of some finite dimensional random matrices. Such facts had already been noticed for Hermitian models. More surprising facts are that outliers can here have very various rates of convergence to their limits (depending on the Jordan Canonical Form of @math ) and that some correlations can appear between outliers at a macroscopic distance from each other (a fact already noticed by Knowles and Yin in the Hermitian case, but only in the case of non Gaussian models, whereas spiked Gaussian matrices belong to our model and can have such correlated outliers). Our first result generalizes a previous result by Tao for matrices with i.i.d. entries, whereas the second one (about the fluctuations) is new.