Bayesian adaptive Lasso estimation of large graphical model based on modified Cholesky decomposition

DOI10.1016/J.SPL.2023.110004zbMATH Open1530.62025OpenAlexW4388997325MaRDI QIDQ6152263FDOQ6152263

Authors: Fan-qun Li, Mingtao Zhao, Kongsheng Zhang 

Publication date: 13 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.110004

zbMATH Keywords

regressiongraphical modelmodified Cholesky decompositionBayesian adaptive Lasso

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Title not available (Why is that?)
• Bayesian structure learning in sparse Gaussian graphical models
• The Bayesian Lasso
• Bayesian Inference of Multiple Gaussian Graphical Models
• Bayesian variable selection with shrinking and diffusing priors
• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• Covariance matrix selection and estimation via penalised normal likelihood
• Penalized regression, standard errors, and Bayesian Lassos
• Efficient estimation of covariance selection models
• Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models
• Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective

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