Post-processing posteriors over precision matrices to produce sparse graph estimates

DOI10.1214/18-BA1139zbMath1435.62103MaRDI QIDQ2290702

Amir Bashir, P. Richard Hahn, M. Beatrix Jones, Carlos Marinho Carvalho

Publication date: 29 January 2020

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1545296446

zbMATH Keywords

Gaussian graphical modelsshrinkage priorcovariance selectiondecoupling shrinkage and selectionposterior summary

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Probabilistic graphical models (62H22)

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Uses Software

• bfa
• glasso

Cites Work

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