Bayesian model selection consistency for high dimensional discrete graphical models
The Bayes factor is a popular method of model selection that compares
the posterior probabilities of two competing models. Consider data given in
the form of a contingency table where N objects are classified according to q
random variables and the conditional independence structure of these random
variables are represented by a discrete graphical model. We assume the cell
counts follow a multinomial distribution with a hyper Dirichlet prior distribution
imposed on the cell probability parameters.We examine the behaviour of
the Bayes factor when the dimension of the model is fixed and when the dimension
increases to infinity with the sample size. Our main result is proving
strong model selection consistency for increasing dimension both when the
true graph is decomposable and when the true graph is non-decomposable.
When the true graph is non-decomposable, we prove that the Bayes factor
selects a minimal triangulation of the true graph.