메뉴 건너뛰기




Volumn 90, Issue 4, 2003, Pages 809-830

Efficient estimation of covariance selection models

Author keywords

Bayesian estimation; Gaussian graphical model; Model averaging; Multivariate regression; Partial correlation

Indexed keywords


EID: 3843149220     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/90.4.809     Document Type: Article
Times cited : (149)

References (26)
  • 1
    • 0034557223 scopus 로고    scopus 로고
    • Modeling covariance matrices in terms of standard deviations and correlations, with application to shrinkage
    • BARNARD, J., MCCULLOCH, R. & MENG, X. (2000). Modeling covariance matrices in terms of standard deviations and correlations, with application to shrinkage. Statist. Sinica 10, 1281-311.
    • (2000) Statist. Sinica , vol.10 , pp. 1281-1311
    • Barnard, J.1    Mcculloch, R.2    Meng, X.3
  • 4
    • 0442325081 scopus 로고    scopus 로고
    • Nonconjugate Bayesian estimation of covariance matrices
    • DANIELS, M. & KASS, R. (1999). Nonconjugate Bayesian estimation of covariance matrices. J. Am. Statist. Assoc. 94, 1254-63.
    • (1999) J. Am. Statist. Assoc. , vol.94 , pp. 1254-1263
    • Daniels, M.1    Kass, R.2
  • 5
    • 3843120764 scopus 로고    scopus 로고
    • Bayesian inference for nondecomposable graphical gaussian models
    • To appear
    • DELLAPORTAS, P., GIUDICI, P. & ROBERTS, G. (2003). Bayesian inference for nondecomposable graphical gaussian models. Sankhya A. To appear.
    • (2003) Sankhya A
    • Dellaportas, P.1    Giudici, P.2    Roberts, G.3
  • 7
    • 0001038826 scopus 로고
    • Covariance selection
    • DEMPSTER, A. P. (1972). Covariance selection. Biometrics 28, 157-75.
    • (1972) Biometrics , vol.28 , pp. 157-175
    • Dempster, A.P.1
  • 9
    • 0002256959 scopus 로고
    • Multivariate empirical bayes and estimation of covariance matrices
    • EFRON, B. & MORRIS, C. (1976). Multivariate empirical Bayes and estimation of covariance matrices. Ann. Statist. 4, 22-32.
    • (1976) Ann. Statist. , vol.4 , pp. 22-32
    • Efron, B.1    Morris, C.2
  • 10
    • 0012852487 scopus 로고
    • Multivariate tests of financial models: A new approach
    • GIBBONS, M. (1982). Multivariate tests of financial models: A new approach. J. Finan. Econ. 14, 217-36.
    • (1982) J. Finan. Econ. , vol.14 , pp. 217-236
    • Gibbons, M.1
  • 11
    • 0001099335 scopus 로고    scopus 로고
    • Decomposable graphical Gaussian model determination
    • GIUDICI, P. & GREEN, P. (1999). Decomposable graphical Gaussian model determination. Biometrika 86, 785-801.
    • (1999) Biometrika , vol.86 , pp. 785-801
    • Giudici, P.1    Green, P.2
  • 12
    • 77956889087 scopus 로고
    • Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
    • GREEN, P. J. (1995). Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika 84, 711-32.
    • (1995) Biometrika , vol.84 , pp. 711-732
    • Green, P.J.1
  • 13
    • 0001466038 scopus 로고
    • The variational form of certain Bayes estimators
    • HAFF, L. R. (1991). The variational form of certain Bayes estimators. Ann. Statist. 19, 1163-90.
    • (1991) Ann. Statist. , vol.19 , pp. 1163-1190
    • Haff, L.R.1
  • 14
    • 0023563816 scopus 로고
    • A method of comparing profiles of repeated measurements
    • KENWARD, M. G. (1987). A method of comparing profiles of repeated measurements. Appl. Statist. 36, 296-308.
    • (1987) Appl. Statist. , vol.36 , pp. 296-308
    • Kenward, M.G.1
  • 16
    • 21144471428 scopus 로고
    • Bayesian inference for a covariance matrix
    • LEONARD, T. & HSU, J. S. J. (1992). Bayesian inference for a covariance matrix. Ann. Statist. 20, 1669-96.
    • (1992) Ann. Statist. , vol.20 , pp. 1669-1696
    • Leonard, T.1    Hsu, J.S.J.2
  • 20
    • 0012806293 scopus 로고    scopus 로고
    • Joint mean-covariance models with application to longitudinal data: Unconstrained parameterisation
    • POURAHMADI, M. (1999). Joint mean-covariance models with application to longitudinal data: Unconstrained parameterisation. Biometrika 86, 677-90.
    • (1999) Biometrika , vol.86 , pp. 677-690
    • Pourahmadi, M.1
  • 21
    • 0001304198 scopus 로고    scopus 로고
    • Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
    • POURAHMADI, M. (2000). Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix. Biometrika 87, 425-35.
    • (2000) Biometrika , vol.87 , pp. 425-435
    • Pourahmadi, M.1
  • 22
    • 0035995077 scopus 로고    scopus 로고
    • Hyper inverse Wishart distribution for non-decomposable graphs and its application to Bayesian inference for Gaussian graphical models
    • ROVERATO, A. (2002). Hyper inverse Wishart distribution for non-decomposable graphs and its application to Bayesian inference for Gaussian graphical models. Scand. J. Statist. 29, 391-411.
    • (2002) Scand. J. Statist. , vol.29 , pp. 391-411
    • Roverato, A.1
  • 23
    • 84980092818 scopus 로고
    • Capital asset prices: A theory of market equilibrium under conditions of risk
    • SHARPE, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finan. 19, 425-42.
    • (1964) J. Finan. , vol.19 , pp. 425-442
    • Sharpe, W.1
  • 24
    • 0036970576 scopus 로고    scopus 로고
    • Bayesian parsimonious covariance matrix estimation for longitudinal data
    • SMITH, M. & KOHN, R. (2002). Bayesian parsimonious covariance matrix estimation for longitudinal data. J. Am. Statist. Assoc. 87, 1141-53.
    • (2002) J. Am. Statist. Assoc. , vol.87 , pp. 1141-1153
    • Smith, M.1    Kohn, R.2
  • 26
    • 21844496542 scopus 로고
    • Estimation of a covariance matrix using the reference prior
    • YANG, R. & BERGER, J. O. (1994). Estimation of a covariance matrix using the reference prior. Ann. Statist. 22, 1195-211.
    • (1994) Ann. Statist. , vol.22 , pp. 1195-1211
    • Yang, R.1    Berger, J.O.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.