FLEXIBLE COVARIANCE ESTIMATION IN GRAPHICAL GAUSSIAN MODELS

• 成果类型: Article
• 署名作者: Rajaratnam, Bala; Massam, Helene; Carvalho, Carlos M.
• 署名单位: Stanford University; York University - Canada; University of Chicago
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/08-AOS619
• 发表日期: 2008
• 页码: 2818-2849
• 关键词: bayesian-inference; wishart distributions; precision matrix; reference priors; selection; conjugate

摘要

In this paper, we propose a class of Bayes estimators for the covariance matrix of graphical Gaussian models Markov with respect to a decomposable graph G. Working with the W-PG family defined by Letac and Massam [Ann. Statist. 35 (2007) 1278-1323] we derive closed-form expressions for Bayes estimators under the entropy and squared-error losses. The W-PG family includes the classical inverse of the hyper inverse Wishart but has many more shape parameters, thus allowing for flexibility in differentially shrinking various parts of the covariance matrix. Moreover, using this family avoids recourse to MCMC, often infeasible in high-dimensional problems. We illustrate the performance of our estimators through a collection of numerical examples where we explore frequentist risk properties and the efficacy of graphs in the estimation of high-dimensional covariance structures.