Wishart distributions for decomposable graphs

DOI10.1214/009053606000001235MaRDI QIDQ2642749zbMATH OpenOpenAlexFDO

Authors Gérard Letac, Hélène Massam

Publication date 4 September 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.2380

zbMATH Keywords

chordal graphsconjugate priorscovariance selection modelsgraphical modelshomogeneous coneshyper inverse Wisharthyper Markovhyper Wishartinverse Wishartnatural exponential familiesperfect ordertriangulated graphs

Mathematics Subject Classification ID

Applications of graph theory (05C90) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62H99)

Abstract: When considering a graphical Gaussian model ${mathcalN}_G$ Markov with respect to a decomposable graph $G$, the parameter space of interest for the precision parameter is the cone $P_G$ of positive definite matrices with fixed zeros corresponding to the missing edges of $G$. The parameter space for the scale parameter of ${mathcalN}_G$ is the cone $Q_G$, dual to $P_G$, of incomplete matrices with submatrices corresponding to the cliques of $G$ being positive definite. In this paper we construct on the cones $Q_G$ and $P_G$ two families of Wishart distributions, namely the Type I and Type II Wisharts. They can be viewed as generalizations of the hyper Wishart and the inverse of the hyper inverse Wishart as defined by Dawid and Lauritzen [Ann. Statist. 21 (1993) 1272--1317]. We show that the Type I and II Wisharts have properties similar to those of the hyper and hyper inverse Wishart. Indeed, the inverse of the Type II Wishart forms a conjugate family of priors for the covariance parameter of the graphical Gaussian model and is strong directed hyper Markov for every direction given to the graph by a perfect order of its cliques, while the Type I Wishart is weak hyper Markov. Moreover, the inverse Type II Wishart as a conjugate family presents the advantage of having a multidimensional shape parameter, thus offering flexibility for the choice of a prior.

Recommendations

• Wishart distributions for decomposable covariance graph models
• On Riesz and Wishart distributions associated with decomposable undirected graphs
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• Exact formulas for the normalizing constants of Wishart distributions for graphical models
• Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models

Cites work

• Cholesky decomposition of a hyper inverse Wishart matrix
• Conditionally reducible natural exponential families and enriched conjugate priors
• Conjugate priors for exponential families
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Extremal rays and duals for cones of positive definite matrices with prescribed zeros
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 4211299 (Why is no real title available?)
• scientific article; zbMATH DE number 4137193 (Why is no real title available?)
• scientific article; zbMATH DE number 3602484 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Hyper Markov laws in the statistical analysis of decomposable graphical models
• Multivariate Beta Distributions and Independence Properties of the Wishart Distribution
• On transformations and determinants of Wishart variables on symmetric cones
• Positive definite completions of partial Hermitian matrices
• Wishart distributions on homogeneous cones

Cited in

(66)

• Flexible covariance estimation in graphical Gaussian models
• On generating random Gaussian graphical models
• Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models
• Exact formulas for the normalizing constants of Wishart distributions for graphical models
• Modeling correlated marker effects in genome-wide prediction via Gaussian concentration graph models
• Conjugate and conditional conjugate Bayesian analysis of discrete graphical models of marginal independence
• Comment on: Sequences of regressions and their independences
• Hierarchical Gaussian graphical models: beyond reversible jump
• Building hyper Dirichlet processes for graphical models
• Sparse covariance estimation in heterogeneous samples
• Bayesian structure learning in graphical models
• On Gaussian group convex models
• Wigner and Wishart ensembles for sparse Vinberg models
• Gaussian graphical modeling for spectrometric data analysis
• Bayesian graph selection consistency under model misspecification
• Compatible priors for model selection of high-dimensional Gaussian DAGs
• Functional equations of zeta functions associated with homogeneous cones
• Bayesian inference in nonparanormal graphical models
• On Riesz and Wishart distributions associated with decomposable undirected graphs
• Post-processing posteriors over precision matrices to produce sparse graph estimates
• On the Letac-Massam conjecture and existence of high dimensional Bayes estimators for graphical models
• A review of Gaussian Markov models for conditional independence
• Statistical paleoclimate reconstructions via Markov random fields
• Wishart exponential families on cones related to tridiagonal matrices
• Wishart distributions for decomposable covariance graph models
• Riesz measures and Wishart laws associated to quadratic maps
• Structural Markov graph laws for Bayesian model uncertainty
• Bayesian analysis of nonparanormal graphical models using rank-likelihood
• Bayesian structure learning in sparse Gaussian graphical models
• A characterization of the bivariate Wishart distribution
• Extension of the Olkin and Rubin characterization to the Wishart distribution on homogeneous cones
• Objective Bayes factors for Gaussian directed acyclic graphical models
• Simultaneous predictive Gaussian classifiers
• A Gibbs sampler for learning DAG: a unification for discrete and Gaussian domains
• Groups acting on Gaussian graphical models
• Sparse matrix decompositions and graph characterizations
• Objective priors for generative star-shape models
• Reference priors for linear models with general covariance structures
• The inverse Riesz probability distribution on symmetric matrices
• Minimax estimation for mixtures of Wishart distributions
• Posterior convergence rates for estimating large precision matrices using graphical models
• Cholesky decomposition of a hyper inverse Wishart matrix
• Invariant Theory and Scaling Algorithms for Maximum Likelihood Estimation
• The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
• Wishart laws and variance function on homogeneous cones
• Characterization of the Riesz exponential family on homogeneous cones
• Marginal densities of the Wishart distribution.
• An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models
• Graph-based multivariate conditional autoregressive models
• A skew Gaussian decomposable graphical model
• Linear optimization over homogeneous matrix cones
• Determining full conditional independence by low-order conditioning
• The Inverse G‐Wishart distribution and variational message passing
• Accelerating Bayesian Structure Learning in Sparse Gaussian Graphical Models
• Copula Gaussian graphical models and their application to modeling functional disability data
• A direct sampler for G-Wishart variates
• Posterior convergence rates for high-dimensional precision matrix estimation using \(G\)-Wishart priors
• High-dimensional covariance estimation for Gaussian directed acyclic graph models with given order
• Gaussian graphical models with applications to omics analyses
• An empirical Bayes procedure for the selection of Gaussian graphical models
• Decomposition of gamma matrices of local zeta functions associated with homogeneous cones
• Bayesian inference in high-dimensional models
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• Bayesian hypothesis testing for Gaussian graphical models: conditional independence and order constraints
• Improving on the maximum likelihood estimators of the means in Poisson decomposable graphical models
• High dimensional posterior convergence rates for decomposable graphical models

This page was built for publication: Wishart distributions for decomposable graphs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2642749)