Covariance structure estimation with Laplace approximation

DOI10.1016/j.jmva.2023.105225arXiv2111.02637OpenAlexW3209082374MaRDI QIDQ6074739

Bongjung Sung, Jaeyong Lee

Publication date: 19 September 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02637

zbMATH Keywords

Laplace approximationsparse covariance matrixposterior convergence rateGaussian covariance graph modelslab and spike prior

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Multivariate analysis (62Hxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
• Sparse Bayesian time-varying covariance estimation in many dimensions
• Bayesian exploratory factor analysis
• Sparse estimation of a covariance matrix
• Sparse inverse covariance estimation with the graphical lasso
• Scaling it up: stochastic search structure learning in graphical models
• A penalized maximum likelihood approach to sparse factor analysis
• Covariance matrix estimation for stationary time series
• Coordinate descent algorithm for covariance graphical Lasso
• Modified linear discriminant analysis approaches for classification of high-dimensional microarray data
• Covariance regularization by thresholding
• Convergence rates of posterior distributions.
• Penalized discriminant analysis
• Efficient Gaussian graphical model determination under \(G\)-Wishart prior distributions
• Sparse permutation invariant covariance estimation
• Bayesian structure learning in graphical models
• The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
• Network exploration via the adaptive LASSO and SCAD penalties
• Wishart distributions for decomposable covariance graph models
• Covariance and precision matrix estimation for high-dimensional time series
• Regularized estimation of large covariance matrices
• Generalized alternating direction method of multipliers: new theoretical insights and applications
• Bayesian graphical Lasso models and efficient posterior computation
• Efficient estimation of covariance selection models
• Nonparametric estimation of large covariance matrices of longitudinal data
• Sparse PCA via Covariance Thresholding
• Sparse Factor Analysis for Learning and Content Analytics
• Sparse Bayesian infinite factor models
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• A Direct Estimation Approach to Sparse Linear Discriminant Analysis
• Objective Bayesian model selection in Gaussian graphical models
• Model selection and estimation in the Gaussian graphical model
• Breast Cancer Diagnosis and Prognosis Via Linear Programming
• De-Biased Sparse PCA: Inference for Eigenstructure of Large Covariance Matrices
• Bayesian Regularization for Graphical Models With Unequal Shrinkage
• Generalized Thresholding of Large Covariance Matrices
• A Convex Pseudolikelihood Framework for High Dimensional Partial Correlation Estimation with Convergence Guarantees
• High-Dimensional Sparse Factor Modeling: Applications in Gene Expression Genomics
• Covariance Tapering for Likelihood-Based Estimation in Large Spatial Data Sets
• Covariance matrix selection and estimation via penalised normal likelihood
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
• Convergence of a block coordinate descent method for nondifferentiable minimization

This page was built for publication: Covariance structure estimation with Laplace approximation