The Graphical Horseshoe Estimator for Inverse Covariance Matrices

DOI10.1080/10618600.2019.1575744OpenAlexW2964033684MaRDI QIDQ6032753

Yunfan Li, Bruce A. Craig, Anindya Bhadra

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.06661

zbMATH Keywords

Gaussian graphical modelBayesian shrinkage estimationsparse precision matrixhigh-dimensional graphs

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (13)

The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models ⋮ Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation ⋮ Horseshoe shrinkage methods for Bayesian fusion estimation ⋮ A positive-definiteness-assured block Gibbs sampler for Bayesian graphical models with shrinkage priors ⋮ Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹ ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates ⋮ A Bayesian graphical approach for large-scale portfolio management with fewer historical data ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual ⋮ Joint mean-covariance estimation via the horseshoe ⋮ Lasso meets horseshoe: a survey ⋮ The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate ⋮ Discussion to: Bayesian graphical models for modern biological applications by Y. Ni, V. Baladandayuthapani, M. Vannucci and F.C. Stingo

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