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• W3119321585 abstract "Statistical inference for sparse covariance matrices is crucial to reveal dependence structure of large multivariate data sets, but lacks scalable and theoretically supported Bayesian methods. In this paper, we propose beta-mixture shrinkage prior, computationally more efficient than the spike and slab prior, for sparse covariance matrices and establish its minimax optimality in high-dimensional settings. The proposed prior consists of beta-mixture shrinkage and gamma priors for off-diagonal and diagonal entries, respectively. To ensure positive definiteness of the resulting covariance matrix, we further restrict the support of the prior to a subspace of positive definite matrices. We obtain the posterior convergence rate of the induced posterior under the Frobenius norm and establish a minimax lower bound for sparse covariance matrices. The class of sparse covariance matrices for the minimax lower bound considered in this paper is controlled by the number of nonzero off-diagonal elements and has more intuitive appeal than those appeared in the literature. The obtained posterior convergence rate coincides with the minimax lower bound unless the true covariance matrix is extremely sparse. In the simulation study, we show that the proposed method is computationally more efficient than competitors, while achieving comparable performance. Advantages of the shrinkage prior are demonstrated based on two real data sets." @default.
• W3119321585 created "2021-01-18" @default.
• W3119321585 creator A5032155136 @default.
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• W3119321585 date "2021-01-12" @default.
• W3119321585 modified "2023-09-27" @default.
• W3119321585 title "The Beta-Mixture Shrinkage Prior for Sparse Covariances with Posterior Minimax Rates" @default.
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