Docstoc

IEEE 2010 - - Covariance Estimation in Decomposable Gaussian Graphical Models

Document Sample
IEEE 2010 - - Covariance Estimation in Decomposable Gaussian Graphical Models Powered By Docstoc
					NCCT                                   IEEE PROJECTS 2010-11
Promise for the Best Projects             JAVA & .NET
IEEE TRANSACTIONS ON SIGNAL PROCESSING
VOL. 58, NO. 3, MARCH 2010

     COVARIANCE ESTIMATION IN DECOMPOSABLE
          GAUSSIAN GRAPHICAL MODELS

ABSTRACT
Graphical models are a framework for representing and exploiting prior
conditional independence structures within distributions using graphs. In
the Gaussian case, these models are directly related to the sparsity of
the inverse covariance (concentration) matrix and allow for improved
covariance estimation with lower computational complexity.
We consider concentration estimation with the mean-squared error
(MSE) as the objective, in a special type of model known as
decomposable. This model includes, for example, the well known
banded structure and other cases encountered in practice.
Our first contribution is the derivation and analysis of the minimum
variance unbiased estimator (MVUE) in decomposable graphical models.
We provide a simple closed form solution to the MVUE and compare it
with the classical maximum likelihood estimator (MLE) in terms of
performance and complexity. Next, we extend the celebrated Stein’s
unbiased risk estimate (SURE) to graphical models.
Using SURE, we prove that the MSE of the MVUE is always smaller or
equal to that of the biased MLE, and that the MVUE itself is dominated
by other approaches. In addition, we propose the use of SURE as a
constructive mechanism for deriving new covariance estimators.
Similarly to the classical MLE, all of our proposed estimators have
simple closed form solutions but result in a significant reduction in MSE.


INDEX TERMS
Covariance estimation, graphical models, minimum variance unbiased
estimation.



      NCCT, 28235816, 93801 02891, 98411 93224
  www.ncct.in, www.ieeeprojects.net, ncctchennai@g mail.com

				
DOCUMENT INFO
Description: Java Projects, Java Final Year Projects, Java IEEE Projects, NCCT Final Year Projects, J2EE Projects, J2ME Projects, IEEE Projects, IEEE Projects 2011, IEEE Projects 2010, IEEE Projects 2009, IEEE Projects 2010-11, Java Project Titles, IEEE Project Titles, Java Project Topics, IEEE Project Topics, IEEE Projects, IEEE Project Titles, IEEE Software Projects, IEEE Java Projects, IEEE DOTNET Projects, IEEE ASP.NET Projects, IEEE VB.NET Projects, IEEE J2EE Projects, IEEE J2ME Projects, IEEE C# Projects, IEEE Final year Projects, IEEE BE Projects, IEEE ME Projects, IEEE MTech Projects, IEEE MCA Projects, IEEE Projects 2010, IEEE Project Titles 2010, IEEE Software Projects 2010, IEEE Java Projects 2010, IEEE DOTNET Projects 2010, IEEE ASP.NET, Projects 2010, IEEE VB.NET Projectgs 2010, IEEE J2EE Projects 2010, IEEE J2ME Projects 2010, IEEE C# Projects 2010, IEEE Final year Projects 2010, IEEE BE Projects 2010, IEEE ME Projects 2010, IEEE MTech Projects 2010, IEEE MCA Projects 2010