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Recursive max-linear models with propagating noise
Johannes Buck, Claudia Klüppelberg · 2020-03-01 · via math.ST updates on arXiv.org

Recursive max-linear vectors model causal dependence between node variables by a structural equation model, expressing each node variable as a max-linear function of its parental nodes in a directed acyclic graph (DAG) and some exogenous innovation. For such a model, there exists a unique minimum DAG, represented by the Kleene star matrix of its edge weight matrix, which identifies the model and can be estimated. For a more realistic statistical modeling we introduce some random observational noise. A probabilistic analysis of this new noisy model reveals that the unique minimum DAG representing the distribution of the non-noisy model remains unchanged and identifiable. Moreover, the distribution of the minimum ratio estimators of the model parameters at their left limits are completely determined by the distribution of the noise variables up to a positive constant. Under a regular variation condition on the noise variables we prove that the estimated Kleene star matrix converges to a matrix of independent Weibull entries after proper centering and scaling.