Bayesian Graphical Lasso Models and Efficient Posterior Computation

[摘要] Recently, the graphical lasso procedure has become popular in estimating Gaussian graphical models. In this paper, we introduce a fully Bayesian treatment of graphical lasso models. We first investigate the graphical lasso prior that has been relatively u

[学科分类] 统计和概率

[关键词] Adaptive graphical lasso;Block Gibbs sampler;Constrained parameter spaces;Covariance matrix estimation;Double-exponential distribution;Graphical lasso