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- W2915175096 abstract "Covariance estimation and selection for multivariate datasets in a high-dimensional regime is a fundamental problem in modern statistics. Gaussian graphical models are a popular class of models used for this purpose. Current Bayesian methods for inverse covariance matrix estimation under Gaussian graphical models require the underlying graph and hence the ordering of variables to be known. However, in practice, such information on the true underlying model is often unavailable. We therefore propose a novel permutation-based Bayesian approach to tackle the unknown variable ordering issue. In particular, we utilize multiple maximum a posteriori estimates under the DAG-Wishart prior for each permutation, and subsequently construct the final estimate of the inverse covariance matrix. The proposed estimator has smaller variability and yields order-invariant property. We establish posterior convergence rates under mild assumptions and illustrate that our method outperforms existing approaches in estimating the inverse covariance matrices via simulation studies." @default.
- W2915175096 created "2019-03-02" @default.
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- W2915175096 date "2019-04-14" @default.
- W2915175096 modified "2023-09-24" @default.
- W2915175096 title "A permutation-based Bayesian approach for inverse covariance estimation" @default.
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- W2915175096 doi "https://doi.org/10.1080/03610926.2019.1590601" @default.
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