A skew Gaussian decomposable graphical model

DOI10.1016/J.JMVA.2015.08.011MaRDI QIDQ5964274zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Hamid Zareifard, Håvard Rue, Majid Jafari Khaledi, Finn Lindgren

Publication date 29 February 2016

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

Full work available at URL https://arxiv.org/abs/1309.5192

zbMATH Keywords

conditional independencedecomposable graphical modelsmultivariate closed skew normal distributionnoninformative prior

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Estimation in multivariate analysis (62H12)

Abstract: This paper propose a novel decomposable graphical model to accommodate skew Gaussian graphical models. We encode conditional independence structure among the components of the multivariate closed skew normal random vector by means of a decomposable graph and so that the pattern of zero off-diagonal elements in the precision matrix corresponds to the missing edges of the given graph. We present conditions that guarantee the propriety of the posterior distributions under the standard noninformative priors for mean vector and precision matrix, and a proper prior for skewness parameter. The identifiability of the parameters is investigated by a simulation study. Finally, we apply our methodology to two data sets.

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Cited in

(8)

• An overview on the progeny of the skew-normal family -- a personal perspective
• On skewed Gaussian graphical models
• Graphical models for skew‐normal variates
• Skew Gaussian Markov random fields under decomposable graphs
• Variational Inference based on a Subclass of Closed Skew Normals
• Structured Variational Approximations with Skew Normal Decomposable Graphical Models and Implicit Copulas
• Variational Inference for Hierarchical Models with Conditional Scale and Skewness Corrections
• Comment on article by Finegold and Drton

Describes a project that uses

Uses Software

• sn
• bvarsv
• GMRFLib
• MIM

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