Bayesian estimation of a covariance matrix with flexible prior specification

DOI10.1007/s10463-010-0314-5zbMath1238.62029MaRDI QIDQ421411

John S. J. Hsu, Chih-Wen Hsu, Marick S. Sinay

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-010-0314-5

zbMATH Keywords

importance sampling; Markov chain Monte Carlo; Volterra integral equation; Metropolis-Hastings algorithm; Gibbs sampling; hierarchical analysis; Laplacian approximation; matrix logarithm transformation

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

62F15: Bayesian inference

62P15: Applications of statistics to psychology

Related Items

Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing, Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework, Bayesian hypothesis testing for Gaussian graphical models: conditional independence and order constraints, Bayesian inference of a multivariate regression model, Enriched standard conjugate priors and the right invariant prior for Wishart distributions

Uses Software

• BayesDA

Cites Work

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