Bayesian estimation of constrained mean-covariance of normal distributions

DOI10.1016/J.SPL.2022.109745MaRDI QIDQ2112272zbMATH OpenOpenAlexFDO

Authors Anupam Kundu, M. Pourahmadi

Publication date 10 January 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109745

zbMATH Keywords

normal-inverse gammashrinkage inverse Wishartstructured covariance

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Generalized linear models (logistic models) (62J12)

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Cites work

• A hierarchical eigenmodel for pooled covariance estimation
• A well-conditioned estimator for large-dimensional covariance matrices
• An elliptically symmetric angular Gaussian distribution
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• Estimation of a covariance matrix using the reference prior
• High dimensional covariance matrix estimation using a factor model
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 1556163 (Why is no real title available?)
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Linear Statistical Inference and its Applications
• Machine learning. A probabilistic perspective
• Sampling-Based Approaches to Calculating Marginal Densities
• The Matrix-Logarithmic Covariance Model

Cited in

(1)

• Constrained Bayes and empirical Bayes estimation under random effects normal ANOVA model with balanced loss function

Describes a project that uses

Uses Software

• BayesDA
• PMTK

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