Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior

DOI10.1214/21-BA1292OpenAlexW4205508580MaRDI QIDQ6121981FDOQ6121981

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)

Cites Work

• High-dimensional multivariate posterior consistency under global-local shrinkage priors
• Scalable Bayesian variable selection using nonlocal prior densities in ultrahigh-dimensional settings
• Graphical models, exponential families, and variational inference
• High-dimensional semiparametric Gaussian copula graphical models
• High dimensional covariance matrix estimation using a factor model
• Sparse Bayesian infinite factor models
• The horseshoe estimator for sparse signals
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• Sparse inverse covariance estimation with the graphical lasso
• On the distribution of the largest eigenvalue in principal components analysis
• Title not available (Why is that?)
• Functional Horseshoe Priors for Subspace Shrinkage
• On consistency and sparsity for principal components analysis in high dimensions
• Dirichlet-Laplace priors for optimal shrinkage
• Exact matrix completion via convex optimization
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• Bayesian estimation of sparse signals with a continuous spike-and-slab prior
• Sparse PCA: optimal rates and adaptive estimation
• The spike-and-slab LASSO
• Optimal rates of convergence for sparse covariance matrix estimation
• Needles and straw in a haystack: posterior concentration for possibly sparse sequences
• On adaptive posterior concentration rates
• Rate-optimal posterior contraction for sparse PCA
• Minimax sparse principal subspace estimation in high dimensions
• Optimal estimation and rank detection for sparse spiked covariance matrices
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Signal-plus-noise matrix models: eigenvector deviations and fluctuations
• The two-to-infinity norm and singular subspace geometry with applications to high-dimensional statistics
• Selective factor extraction in high dimensions
• Bayesian linear regression for multivariate responses under group sparsity

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)