Uniform Inference in High-Dimensional Gaussian Graphical Models

08/30/2018

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by   Sven Klaassen, et al.

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Graphical models have become a very popular tool for representing dependencies within a large set of variables and are key for representing causal structures. We provide results for uniform inference on high-dimensional graphical models with the number of target parameters being possible much larger than sample size. This is in particular important when certain features or structures of a causal model should be recovered. Our results highlight how in high-dimensional settings graphical models can be estimated and recovered with modern machine learning methods in complex data sets. We also demonstrate in simulation study that our procedure has good small sample properties.