Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
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Publication:2233583
DOI10.1214/21-EJS1904zbMath1478.62124MaRDI QIDQ2233583
Ryan Martin, Wenli Shi, Subhashis Ghosal
Publication date: 11 October 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/Bayesian-estimation-of-sparse-precision-matrices-in-the-presence-of/10.1214/21-EJS1904.full
covariance matrix; sparsity; posterior contraction rate; high-dimensional inference; Gaussian graphical model
62H12: Estimation in multivariate analysis
62F15: Bayesian inference
62H22: Probabilistic graphical models
Uses Software