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The PC-algorithm was shown to be a powerful method for estimating the equivalence class of a potentially very high-dimensional acyclic directed graph (DAG) with the corresponding Gaussian distribution. Here we propose a computationally eficient robustification of the PC-algorithm and prove its consistency. Furthermore, we compare the robustified and standard version of the PC-algorithm on simulated data using the new corresponding R package pcalg.
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Kalisch et al. (2008) studied this question.
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