The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate

DOI10.1016/j.jmva.2022.105067OpenAlexW4283374231MaRDI QIDQ2079610

Jaeyong Lee, Kyoungjae Lee, Seongil Jo

Publication date: 30 September 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.04351

zbMATH Keywords

sparse covariance matrixbeta-mixture shrinkage priorposterior minimax rate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Covariance structure estimation with Laplace approximation ⋮ Post-processed posteriors for sparse covariances ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual

Uses Software

• rda
• spcov
• GHS

Cites Work

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