Bayesian estimation of a covariance matrix with flexible prior specification

DOI10.1007/s10463-010-0314-5zbMath1238.62029OpenAlexW2138477261MaRDI QIDQ421411

John S. J. Hsu, Chih-Wen Hsu, Marick S. Sinay

Publication date: 23 May 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-010-0314-5

zbMATH Keywords

importance samplingMarkov chain Monte CarloVolterra integral equationMetropolis-Hastings algorithmGibbs samplinghierarchical analysisLaplacian approximationmatrix logarithm transformation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Applications of statistics to psychology (62P15)

Related Items

Bayesian hypothesis testing for Gaussian graphical models: conditional independence and order constraints ⋮ Bayesian inference of a multivariate regression model ⋮ Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ Enriched standard conjugate priors and the right invariant prior for Wishart distributions

Uses Software

• BayesDA

Cites Work

• Statistical decision theory and Bayesian analysis. 2nd ed
• Estimation of a covariance matrix under Stein's loss
• A Monte Carlo method for high dimensional integration
• Bayesian inference for a covariance matrix
• Bayesian and likelihood inference from equally weighted mixtures
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• The Matrix-Logarithmic Covariance Model
• Bayesian estimation of the dispersion matrix of a multivariate normal distribution
• Accurate Approximations for Posterior Moments and Marginal Densities
• Approximate methods for assessing influence and sensitivity in Bayesian analysis
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
• Laplace's 1774 memoir on inverse probability
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