Conditional independence graph

For a random vector indexed by vertices $V$, its conditional independence graph is the undirected graph with $u-v$ absent exactly when $Z_u\perp Z_v\mid Z_{V\setminus \{u,v\}}$. In a nonsingular multivariate normal distribution, its edges are the nonzero off-diagonal entries of the precision matrix.

Fit the conditional law of each variable given all others and use its predictor support to estimate its neighbours. In a Gaussian graphical model, this is linear regression with coefficients given by conditional regression coefficients from a Gaussian precision matrix. The Nodewise Lasso supplies sparse fits; the OR rule for nodewise graph selection and AND rule for nodewise graph selection combine possibly disagreeing directional supports into an undirected graph.

Minimizing the squared error over each free regression intercept gives the displayed formula. Substitution replaces all data columns by centred columns. The regression intercept is generally not the marginal mean of the response when predictor means are nonzero; the distinction matters in conditional regression coefficients from a Gaussian precision matrix.

The intersection rule retains an edge only when both directions of nodewise regression select it. It is more conservative than the OR rule for nodewise graph selection; the distinction matters because separate finite-sample fits can disagree.

The union rule retains an edge whenever either of the two nodewise regression fits selects the other variable. It is more inclusive than the AND rule for nodewise graph selection and makes an undirected edge decision from potentially asymmetric estimated neighbourhoods.

For a nondegenerate multivariate normal distribution, the conditional independence graph is read from zeros in its precision matrix. Conditional independence of two components given all others is equivalent to a zero cross term in their conditional Gaussian quadratic density, hence to ${\Omega }_{jk}=0$. It does not generally correspond to a zero in the covariance matrix.

For Gaussian data, regress each variable on all remaining variables using Lasso. Nonzero coefficients estimate its neighbours in the conditional independence graph. Symmetrize the separate regressions using either the union or the intersection of their selected directed neighbourhoods.

If D-separation and conditional independence are equivalent for a Directed acyclic graph, its moral graph is its conditional independence graph. After conditioning on all other vertices, an active path can only be a direct edge or a two-edge collider through a common child: two adjacent interior vertices cannot both be colliders. These are exactly the moral edges.