Joint mean-covariance estimation via the horseshoe

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

zbMATH Keywords

shrinkage estimationBayesian methodsseemingly unrelated regressioneQTL analysisglobal-local priors

Mathematics Subject Classification ID

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

• Matlab
• KEGG
• GitHub
• GHS
• HDTD

Cites Work

• Unnamed Item
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• Hyper Markov laws in the statistical analysis of decomposable graphical models
• The horseshoe+ estimator of ultra-sparse signals
• Uncertainty quantification for the horseshoe (with discussion)
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Joint High‐Dimensional Bayesian Variable and Covariance Selection with an Application to eQTL Analysis
• Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO
• The horseshoe estimator for sparse signals
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• Prediction risk for the horseshoe regression
• Covariate-adjusted precision matrix estimation with an application in genetical genomics
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• The Graphical Horseshoe Estimator for Inverse Covariance Matrices

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