The performance of covariance selection methods that consider decomposable models only

DOI10.1214/14-BA874MaRDI QIDQ899046zbMATHOpenAlexFDO

Authors A. Marie Fitch, M. B. Jones, Hélène Massam

Publication date 21 December 2015

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1409921109

zbMATH Keywords

covariance selectionasymptotic behaviornon-decomposablegraphical lassodecomposablefeature inclusion stochastic searchundirected Gaussian graphical models

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 5381777 (Why is no real title available?)
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• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Bayesian inference for general Gaussian graphical models with application to multivariate lattice data
• Efficient estimation of covariance selection models
• Experiments in stochastic computation for high-dimensional graphical models
• High-dimensional graphs and variable selection with the Lasso
• Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models
• Network exploration via the adaptive LASSO and SCAD penalties
• Objective Bayesian model selection in Gaussian graphical models
• Sparse inverse covariance estimation with the graphical lasso

Cited in

(10)

• Structural learning of contemporaneous dependencies in graphical VAR models
• Objective methods for graphical structural learning
• Performance of the Kenward–Roger Method when the Covariance Structure is Selected Using AIC and BIC
• The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
• The cost of using decomposable Gaussian graphical models for computational convenience
• Learning Gaussian graphical models with fractional marginal pseudo-likelihood
• Post-processing posteriors over precision matrices to produce sparse graph estimates
• Covariance-based variable selection for compositional data
• Bayesian graph selection consistency under model misspecification
• Efficient Bayesian regularization for graphical model selection

Describes a project that uses

Uses Software

• R
• glasso
• HdBCS

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