Sparse Gaussian chain graphs with the spike-and-slab LASSO: Algorithms and asymptotics

The Gaussian chain graph model simultaneously parametrizes (i) the direct effects of $p$ predictors on $q$ correlated outcomes and (ii) the residual partial covariance between pair of outcomes. We introduce a new method for fitting sparse Gaussian chain graph models with spike-and-slab LASSO (SSL) priors. We develop an Expectation-Conditional Maximization algorithm to obtain sparse estimates of the $p \times q$ matrix of direct effects and the $q \times q$ residual precision matrix. Our algorithm iteratively solves a sequence of penalized maximum likelihood problems with self-adaptive penalties that gradually filter out negligible regression coefficients and partial covariances. Because it adaptively penalizes model parameters, our method is seen to outperform fixed-penalty competitors on simulated data. We establish the posterior concentration rate for our model, buttressing our method's excellent empirical performance with strong theoretical guarantees. We use our method to reanalyze a dataset from a study of the effects of diet and residence type on the composition of the gut microbiome of elderly adults.