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

DOI10.1016/J.SPL.2023.110004MaRDI QIDQ6152263zbMATH OpenOpenAlexFDO

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)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• Bayesian inference of multiple Gaussian graphical models
• Bayesian structure learning in sparse Gaussian graphical models
• Bayesian variable selection with shrinking and diffusing priors
• Covariance matrix selection and estimation via penalised normal likelihood
• Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective
• Efficient estimation of covariance selection models
• Penalized regression, standard errors, and Bayesian Lassos
• Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models
• The Adaptive Lasso and Its Oracle Properties
• The Bayesian Lasso

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