Post-processed posteriors for sparse covariances

DOI10.1016/J.JECONOM.2023.105475MaRDI QIDQ6133369FDOQ6133369

Jaeyong Lee, Kwangmin Lee

Publication date: 18 August 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayesian inferencecovariance estimationhigh-dimensional analysisminimax analysisidiosyncratic covariance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Generalized Thresholding of Large Covariance Matrices
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• Optimal rates of convergence for sparse covariance matrix estimation
• Bayesian graphical Lasso models and efficient posterior computation
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• Bayesian Regularization for Graphical Models With Unequal Shrinkage
• Bayesian structure learning in graphical models
• A transformation approach for incorporating monotone or unimodal constraints
• Robust high-dimensional factor models with applications to statistical machine learning
• The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
• Estimation of conditional mean operator under the bandable covariance structure

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