Scalable Bayesian high-dimensional local dependence learning
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Publication:6122014
DOI10.1214/21-BA1299arXiv2109.11795OpenAlexW3202888691WikidataQ116033127 ScholiaQ116033127MaRDI QIDQ6122014FDOQ6122014
Authors: Kyoungjae Lee, Lizhen Lin 
Publication date: 27 February 2024
Published in: Bayesian Analysis (Search for Journal in Brave)
Abstract: In this work, we propose a scalable Bayesian procedure for learning the local dependence structure in a high-dimensional model where the variables possess a natural ordering. The ordering of variables can be indexed by time, the vicinities of spatial locations, and so on, with the natural assumption that variables far apart tend to have weak correlations. Applications of such models abound in a variety of fields such as finance, genome associations analysis and spatial modeling. We adopt a flexible framework under which each variable is dependent on its neighbors or predecessors, and the neighborhood size can vary for each variable. It is of great interest to reveal this local dependence structure by estimating the covariance or precision matrix while yielding a consistent estimate of the varying neighborhood size for each variable. The existing literature on banded covariance matrix estimation, which assumes a fixed bandwidth cannot be adapted for this general setup. We employ the modified Cholesky decomposition for the precision matrix and design a flexible prior for this model through appropriate priors on the neighborhood sizes and Cholesky factors. The posterior contraction rates of the Cholesky factor are derived which are nearly or exactly minimax optimal, and our procedure leads to consistent estimates of the neighborhood size for all the variables. Another appealing feature of our procedure is its scalability to models with large numbers of variables due to efficient posterior inference without resorting to MCMC algorithms. Numerical comparisons are carried out with competitive methods, and applications are considered for some real datasets.
Full work available at URL: https://arxiv.org/abs/2109.11795
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