Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior

DOI10.1214/21-BA1292MaRDI QIDQ6121981zbMATH OpenOpenAlexFDO

Authors Fangzheng Xie, Joshua Cape, Carey E. Priebe, Yanxun Xu

Publication date 27 February 2024

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bayesian-analysis/volume-17/issue-4/Bayesian-Sparse-Spiked-Covariance-Model-with-a-Continuous-Matrix-Shrinkage/10.1214/21-BA1292.full

zbMATH Keywords

joint sparsitylatent factor modelmatrix spike-and-slab Lassorate-optimal posterior contractiontwo-to-infinity norm loss

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Recommendations

• Shrinkage priors for single-spiked covariance models
• Estimation of a sparse and spiked covariance matrix
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• Optimal estimation and rank detection for sparse spiked covariance matrices
• The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate

Cites work

• scientific article; zbMATH DE number 47363 (Why is no real title available?)
• Bayesian estimation of sparse signals with a continuous spike-and-slab prior
• Bayesian linear regression for multivariate responses under group sparsity
• Dirichlet-Laplace priors for optimal shrinkage
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Exact matrix completion via convex optimization
• Functional Horseshoe Priors for Subspace Shrinkage
• Graphical models, exponential families, and variational inference
• High dimensional covariance matrix estimation using a factor model
• High-dimensional multivariate posterior consistency under global-local shrinkage priors
• High-dimensional semiparametric Gaussian copula graphical models
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Minimax sparse principal subspace estimation in high dimensions
• Needles and straw in a haystack: posterior concentration for possibly sparse sequences
• On adaptive posterior concentration rates
• On consistency and sparsity for principal components analysis in high dimensions
• On the distribution of the largest eigenvalue in principal components analysis
• Optimal estimation and rank detection for sparse spiked covariance matrices
• Optimal rates of convergence for sparse covariance matrix estimation
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• Rate-optimal posterior contraction for sparse PCA
• Scalable Bayesian variable selection using nonlocal prior densities in ultrahigh-dimensional settings
• Selective factor extraction in high dimensions
• Signal-plus-noise matrix models: eigenvector deviations and fluctuations
• Sparse Bayesian infinite factor models
• Sparse PCA: optimal rates and adaptive estimation
• Sparse inverse covariance estimation with the graphical lasso
• The horseshoe estimator for sparse signals
• The spike-and-slab LASSO
• The two-to-infinity norm and singular subspace geometry with applications to high-dimensional statistics

Cited in

(1)

• Spike and slab Bayesian sparse principal component analysis

This page was built for publication: Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6121981)