Robustification of the PC-Algorithm for Directed Acyclic Graphs

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 efficient 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.