Joint mean-covariance estimation via the horseshoe
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Publication:2022549
DOI10.1016/j.jmva.2020.104716zbMath1464.62354arXiv1903.06768OpenAlexW3115192332MaRDI QIDQ2022549
Bruce A. Craig, Anindya Bhadra, Yunfan Li, Jyotishka Datta
Publication date: 29 April 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.06768
Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Paired and multiple comparisons; multiple testing (62J15)
Related Items (3)
A generalized likelihood-based Bayesian approach for scalable joint regression and covariance selection in high dimensions ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ HS_GHS
Uses Software
Cites Work
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