Bernstein-von Mises theorems for functionals of the covariance matrix
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Publication:309540
DOI10.1214/15-EJS1048zbMATH Open1346.62059arXiv1412.0313MaRDI QIDQ309540FDOQ309540
Publication date: 7 September 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We provide a general theoretical framework to derive Bernstein-von Mises theorems for matrix functionals. The conditions on functionals and priors are explicit and easy to check. Results are obtained for various functionals including entries of covariance matrix, entries of precision matrix, quadratic forms, log-determinant, eigenvalues in the Bayesian Gaussian covariance/precision matrix estimation setting, as well as for Bayesian linear and quadratic discriminant analysis.
Full work available at URL: https://arxiv.org/abs/1412.0313
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Cited In (11)
- Estimating Large Precision Matrices via Modified Cholesky Decomposition
- Optimal Bayesian minimax rates for unconstrained large covariance matrices
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