Exact formulas for the normalizing constants of Wishart distributions for graphical models

DOI10.1214/17-AOS1543zbMATH Open1392.62146arXiv1406.4901OpenAlexW2963026254MaRDI QIDQ1747734FDOQ1747734

Authors: Caroline Uhler, Alex Lenkoski, Donald Richards 

Publication date: 27 April 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Gaussian graphical models have received considerable attention during the past four decades from the statistical and machine learning communities. In Bayesian treatments of this model, the G-Wishart distribution serves as the conjugate prior for inverse covariance matrices satisfying graphical constraints. While it is straightforward to posit the unnormalized densities, the normalizing constants of these distributions have been known only for graphs that are chordal, or decomposable. Up until now, it was unknown whether the normalizing constant for a general graph could be represented explicitly, and a considerable body of computational literature emerged that attempted to avoid this apparent intractability. We close this question by providing an explicit representation of the G-Wishart normalizing constant for general graphs.

Full work available at URL: https://arxiv.org/abs/1406.4901

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zbMATH Keywords

generalized hypergeometric function of matrix argumentGaussian graphical modelnormalizing constantdirected acyclic graphWishart distributionCholesky decompositionbipartite graph\(G\)-Wishart distributionchordal graphBartlett decompositionmoral graph

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (23)

• Learning Block Structured Graphs in Gaussian Graphical Models
• Bayesian graph selection consistency under model misspecification
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• Wishart distributions for decomposable covariance graph models
• The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
• Accelerating Bayesian Structure Learning in Sparse Gaussian Graphical Models
• Wishart distributions for decomposable graphs
• A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
• Covariance trees and Wishart distributions on cones
• Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO
• Gaussian graphical modeling for spectrometric data analysis
• Rejoinder: ``Robust Bayesian graphical modeling using Dirichlet \(t\)-distributions
• On a wider class of prior distributions for graphical models
• Covariate-Assisted Bayesian Graph Learning for Heterogeneous Data
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• The Inverse G‐Wishart distribution and variational message passing
• Bayesian inference in nonparanormal graphical models
• On the Letac-Massam conjecture and existence of high dimensional Bayes estimators for graphical models
• Exact formulas for the normalizing constants of Wishart distributions for graphical models
• A review of Gaussian Markov models for conditional independence
• Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
• Bayesian analysis of nonparanormal graphical models using rank-likelihood
• Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models

Uses Software

• HdBCS

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