Bayesian estimation of constrained mean-covariance of normal distributions

DOI10.1016/j.spl.2022.109745zbMath1502.62061OpenAlexW4310676598MaRDI QIDQ2112272

Anupam Kundu, Mohsen Pourahmadi

Publication date: 10 January 2023

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

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109745

zbMATH Keywords

normal-inverse gammashrinkage inverse Wishartstructured covariance

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Exact distribution theory in statistics (62E15)

Uses Software

• BayesDA
• PMTK

Cites Work

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• An elliptically symmetric angular Gaussian distribution
• A well-conditioned estimator for large-dimensional covariance matrices
• High dimensional covariance matrix estimation using a factor model
• Estimation of a covariance matrix using the reference prior
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• The Matrix-Logarithmic Covariance Model
• Sampling-Based Approaches to Calculating Marginal Densities
• A Hierarchical Eigenmodel for Pooled Covariance Estimation
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Linear Statistical Inference and its Applications

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