A positive-definiteness-assured block Gibbs sampler for Bayesian graphical models with shrinkage priors

DOI10.1007/S42081-022-00147-1MaRDI QIDQ2166027zbMATH OpenOpenAlexFDO

Authors Sakae Oya, Teruo Nakatsuma

Publication date 23 August 2022

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.04657

zbMATH Keywords

Gibbs samplerprecision matrixgraphical modelpositive definitenesshit-and-run algorithm

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Bayesian graphical Lasso models and efficient posterior computation
• High-dimensional graphs and variable selection with the Lasso
• Hit-and-Run Algorithms for Generating Multivariate Distributions
• Joint estimation of multiple graphical models
• Model selection and estimation in the Gaussian graphical model
• Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
• Network exploration via the adaptive LASSO and SCAD penalties
• Scaling it up: stochastic search structure learning in graphical models
• Sparse inverse covariance estimation with the graphical lasso
• The Bayesian Lasso
• The Bayesian covariance lasso
• The Graphical Horseshoe Estimator for Inverse Covariance Matrices

Cited in

(1)

• A Bayesian graphical approach for large-scale portfolio management with fewer historical data

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