In this paper we develop a mixed graphical model for identifying conditional independence relations between continuous and discrete variables in a quantile framework using Parzen’s definition of mid-quantile. To recover the graph structure and induce sparsity, we consider the neighborhood selection approach in which conditional mid-quantiles of each variable in the network are modeled as a sparse function of all others. Building on previous work, we propose a two-step estimation procedure where, in the first step, conditional midprobabilities are obtained and, in the second step, the model parameters are estimated by solving an implicit equation with a LASSO penalty. The empirical application investigates the relationship between depression and inflammation on a sample of individuals from the National Health and Nutrition Examination Survey 2017-2020.

Quantile-based graphical models for continuous and discrete variables / Merlo, Luca; Geraci, Marco; Petrella, Lea. - (2023), pp. 1069-1074.

Quantile-based graphical models for continuous and discrete variables

Luca Merlo;Marco Geraci;Lea Petrella
2023

Abstract

In this paper we develop a mixed graphical model for identifying conditional independence relations between continuous and discrete variables in a quantile framework using Parzen’s definition of mid-quantile. To recover the graph structure and induce sparsity, we consider the neighborhood selection approach in which conditional mid-quantiles of each variable in the network are modeled as a sparse function of all others. Building on previous work, we propose a two-step estimation procedure where, in the first step, conditional midprobabilities are obtained and, in the second step, the model parameters are estimated by solving an implicit equation with a LASSO penalty. The empirical application investigates the relationship between depression and inflammation on a sample of individuals from the National Health and Nutrition Examination Survey 2017-2020.
2023
Statistical Learning, Sustainability and Impact Evaluation
9788891935618
LASSO; mixed random variables; mid-CDF; neighborhood selection; NHANES
02 Pubblicazione su volume::02a Capitolo o Articolo
Quantile-based graphical models for continuous and discrete variables / Merlo, Luca; Geraci, Marco; Petrella, Lea. - (2023), pp. 1069-1074.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1695356
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