Covariance structure estimation with Laplace approximation

DOI10.1016/J.JMVA.2023.105225arXiv2111.02637OpenAlexW3209082374MaRDI QIDQ6074739

Bongjung Sung, Jaeyong Lee

Publication date: 19 September 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02637

zbMATH Keywords

Laplace approximationsparse covariance matrixposterior convergence rateGaussian covariance graph modelslab and spike prior

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Multivariate analysis (62Hxx)

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