  We study graph estimation and density estimation in high dimensions, using a
family of density estimators based on forest structured undirected graphical
models. For density estimation, we do not assume the true distribution
corresponds to a forest; rather, we form kernel density estimates of the
bivariate and univariate marginals, and apply Kruskal's algorithm to estimate
the optimal forest on held out data. We prove an oracle inequality on the
excess risk of the resulting estimator relative to the risk of the best forest.
For graph estimation, we consider the problem of estimating forests with
restricted tree sizes. We prove that finding a maximum weight spanning forest
with restricted tree size is NP-hard, and develop an approximation algorithm
for this problem. Viewing the tree size as a complexity parameter, we then
select a forest using data splitting, and prove bounds on excess risk and
structure selection consistency of the procedure. Experiments with simulated
data and microarray data indicate that the methods are a practical alternative
to Gaussian graphical models.
