Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm

DOI10.1080/00949650701519635MaRDI QIDQ3615028zbMATH OpenOpenAlexFDO

Authors Xuefeng Liu

Publication date 17 March 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701519635

zbMATH Keywords

correlation matrixgeneralized candidate priorGPX-RPMH algorithmtarget prior

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15)

Recommendations

• An efficient algorithm for sampling from sin^k (x) for generating random correlation matrices
• Correlation matrix with block structure and efficient sampling methods
• Approximations to the distribution of the sample correlation matrix
• Gibbs sampler for computing and propagating large covariance matrices
• Fast sampling of parameterised Gaussian random fields
• A New Parametrization of Correlation Matrices
• scientific article; zbMATH DE number 3923889
• Parameter expansion to accelerate EM: the PX-EM algorithm

Cites work

• A Correlated Probit Model for Joint Modeling of Clustered Binary and Continuous Responses
• Analysis of multivariate probit models
• Bayesian correlation estimation
• Efficient estimation of covariance selection models
• Inference and missing data
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Optimal scaling for various Metropolis-Hastings algorithms.
• Properties of prior and posterior distributions for multivariate categorical response data models
• Regeneration in Markov Chain Samplers
• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• The comparison of sample covariance matrices using likelihood ratio tests
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(3)

• Bayesian exploratory factor analysis
• A partially confirmatory approach to the multidimensional item response theory with the Bayesian Lasso
• A hierarchical multi-unidimensional IRT approach for analyzing sparse, multi-group data for integrative data analysis

This page was built for publication: Parameter expansion for sampling a correlation matrix: an efficient GPX-RPMH algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3615028)