bspcov (Q5976280)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Bayesian Sparse Estimation of a Covariance Matrix
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | bspcov |
Bayesian Sparse Estimation of a Covariance Matrix |
Statements
Kwangmin Lee
0 references
Kyoungjae Lee
0 references
Seongil Jo
0 references
Bayesian estimations of a covariance matrix for multivariate normal data. Assumes that the covariance matrix is sparse or band matrix and positive-definite. Methods implemented include the beta-mixture shrinkage prior (Lee et al. (2022) <doi:10.1016/j.jmva.2022.105067>), screened beta-mixture prior (Lee et al. (2024) <doi:10.1214/24-BA1495>), and post-processed posteriors for banded and sparse covariances (Lee et al. (2023) <doi:10.1214/22-BA1333>; Lee and Lee (2023) <doi:10.1016/j.jeconom.2023.105475>). This software has been developed using funding supported by Basic Science Research Program through the National Research Foundation of Korea ('NRF') funded by the Ministry of Education ('RS-2023-00211979', 'NRF-2022R1A5A7033499', 'NRF-2020R1A4A1018207' and 'NRF-2020R1C1C1A01013338').
0 references
18 August 2025
0 references
0 references
0 references
