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- W2952149315 abstract "Although there is a rich literature on methods for allowing the variance in a univariate regression model to vary with predictors, time and other factors, relatively little has been done in the multivariate case. Our focus is on developing a class of nonparametric covariance regression models, which allow an unknown p x p covariance matrix to change flexibly with predictors. The proposed modeling framework induces a prior on a collection of covariance matrices indexed by predictors through priors for predictor-dependent loadings matrices in a factor model. In particular, the predictor-dependent loadings are characterized as a sparse combination of a collection of unknown dictionary functions (e.g, Gaussian process random functions). The induced covariance is then a regularized quadratic function of these dictionary elements. Our proposed framework leads to a highly-flexible, but computationally tractable formulation with simple conjugate posterior updates that can readily handle missing data. Theoretical properties are discussed and the methods are illustrated through simulations studies and an application to the Google Flu Trends data." @default.
- W2952149315 created "2019-06-27" @default.
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- W2952149315 date "2011-01-11" @default.
- W2952149315 modified "2023-09-27" @default.
- W2952149315 title "Bayesian Nonparametric Covariance Regression" @default.
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