Post-processing posteriors over precision matrices to produce sparse graph estimates

DOI10.1214/18-BA1139zbMATH Open1435.62103MaRDI QIDQ2290702FDOQ2290702

Authors: A. Bashir, P. Richard Hahn, M. B. Jones, Carlos M. Carvalho 

Publication date: 29 January 2020

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1545296446

Recommendations

• Bayesian structure learning in graphical models
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zbMATH Keywords

covariance selectionGaussian graphical modelsshrinkage priordecoupling shrinkage and selectionposterior summary

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Bayesian structure learning in sparse Gaussian graphical models
• The nonparanormal: semiparametric estimation of high dimensional undirected graphs
• A well-conditioned estimator for large-dimensional covariance matrices
• Sparse inverse covariance estimation with the graphical lasso
• Network exploration via the adaptive LASSO and SCAD penalties
• Direct estimation of differential networks
• Bayesian graphical models for differential pathways
• Joint estimation of multiple graphical models
• The Joint Graphical Lasso for Inverse Covariance Estimation Across Multiple Classes
• Bayesian inference of multiple Gaussian graphical models
• Simple marginally noninformative prior distributions for covariance matrices
• Wishart distributions for decomposable graphs
• Joint estimation of multiple high-dimensional precision matrices
• Bayesian graphical Lasso models and efficient posterior computation
• Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models
• The performance of covariance selection methods that consider decomposable models only
• Efficient Bayesian regularization for graphical model selection
• Inferring metabolic networks using the Bayesian adaptive graphical Lasso with informative priors
• Sampling decomposable graphs using a Markov chain on junction trees
• Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective

Cited In (10)

• Estimation of conditional mean operator under the bandable covariance structure
• Model Interpretation Through Lower-Dimensional Posterior Summarization
• Bayesian variable selection for understanding mixtures in environmental exposures
• Fast, Optimal, and Targeted Predictions Using Parameterized Decision Analysis
• Models of random sparse eigenmatrices and Bayesian analysis of multivariate structure
• Post-processed posteriors for banded covariances
• Bayesian decision theory for tree-based adaptive screening tests with an application to youth delinquency
• Bayesian structure learning in graphical models
• Subset Selection for Linear Mixed Models
• Comparing dependent undirected Gaussian networks

Uses Software

• bfa
• glasso

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