Fitting social network models using varying truncation stochastic approximation MCMC algorithm

Ick Hoon Jin, Faming Liang

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

The exponential random graph model (ERGM) plays a major role in social network analysis. However, parameter estimation for the ERGM is a hard problem due to the intractability of its normalizing constant and the model degeneracy. The existing algorithms, such as Monte Carlo maximum likelihood estimation (MCMLE) and stochastic approximation, often fail for this problem in the presence of model degeneracy. In this article, we introduce the varying truncation stochastic approximation Markov chain Monte Carlo (SAMCMC) algorithm to tackle this problem. The varying truncation mechanism enables the algorithm to choose an appropriate starting point and an appropriate gain factor sequence, and thus to produce a reasonable parameter estimate for the ERGM even in the presence of model degeneracy. The numerical results indicate that the varying truncation SAMCMC algorithm can significantly outperform the MCMLE and stochastic approximation algorithms: for degenerate ERGMs, MCMLE and stochastic approximation often fail to produce any reasonable parameter estimates, while SAMCMC can do; for nondegenerate ERGMs, SAMCMC can work as well as or better than MCMLE and stochastic approximation. The data and source codes used for this article are available online as supplementary materials.

Original languageEnglish
Pages (from-to)927-952
Number of pages26
JournalJournal of Computational and Graphical Statistics
Volume22
Issue number4
DOIs
Publication statusPublished - 2013 Jan 1

Fingerprint

MCMC Algorithm
Stochastic Approximation
Truncation
Social Networks
Network Model
Approximation Algorithms
Maximum Likelihood Estimation
Graph Model
Degeneracy
Random Graphs
Markov Chain Monte Carlo Algorithms
Markov Chain Monte Carlo
Normalizing Constant
Social Network Analysis
Stochastic approximation
Network model
Social networks
Markov chain Monte Carlo
Stochastic Algorithms
Estimate

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Statistics, Probability and Uncertainty

Cite this

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Fitting social network models using varying truncation stochastic approximation MCMC algorithm. / Jin, Ick Hoon; Liang, Faming.

In: Journal of Computational and Graphical Statistics, Vol. 22, No. 4, 01.01.2013, p. 927-952.

Research output: Contribution to journalArticle

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