Gaussian Graphical Model Exploration and Selection in High Dimension Low Sample Size Setting

Gaussian graphical models (GGM) are often used to describe the conditional correlations between the components of a random vector. In this article, we compare two families of GGM inference methods: the nodewise approach and the penalised likelihood maximisation. We demonstrate on synthetic data that, when the sample size is small, the two methods produce graphs with either too few or too many edges when compared to the real one. As a result, we...