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- Title
Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property.
- Authors
DRTON, MATHIAS; EICHLER, MICHAEL
- Abstract
The Andersson–Madigan–Perlman (AMP) Markov property is a recently proposed alternative Markov property (AMP) for chain graphs. In the case of continuous variables with a joint multivariate Gaussian distribution, it is the AMP rather than the earlier introduced Lauritzen–Wermuth–Frydenberg Markov property that is coherent with data-generation by natural block-recursive regressions. In this paper, we show that maximum likelihood estimates in Gaussian AMP chain graph models can be obtained by combining generalized least squares and iterative proportional fitting to an iterative algorithm. In an appendix, we give useful convergence results for iterative partial maximization algorithms that apply in particular to the described algorithm.
- Subjects
MARKOV processes; STOCHASTIC processes; ESTIMATION theory; GAUSSIAN distribution; ALGORITHMS; MATHEMATICAL statistics
- Publication
Scandinavian Journal of Statistics, 2006, Vol 33, Issue 2, p247
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2006.00482.x