Robust Bayesian graphical modeling using dirichlet t-distributions

Abstract

Bayesian graphical modeling provides an appealing way to obtain un-certainty estimates when inferring network structures, and much recent progress has been made for Gaussian models. For more robust inferences, it is natural to consider extensions to t-distribution models. We argue that the classical multivari-ate t-distribution, defined using a single latent Gamma random variable to rescale a Gaussian random vector, is of little use in more highly multivariate settings, and propose other, more exible t-distributions. Using an independent Gamma-divisor for each component of the random vector defines what we term the alternative t-distribution. The associated model allows one to extract information from highly multivariate data even when most experiments contain outliers for some of their measurements. However, the use of this alternative model comes at increased com- putational cost and imposes constraints on the achievable correlation structures, raising the need for a compromise between the classical and alternative models. To this end we propose the use of Dirichlet processes for adaptive clustering of the latent Gamma-scalars, each of which may then divide a group of latent Gaussian variables. The resulting Dirichlet t-distribution interpolates naturally between the two extreme cases of the classical and alternative t-distributions and combines more appealing modeling of the multivariate dependence structure with favorable computational properties.