Posterior contraction in sparse bayesian factor models for massive covariance matrices

Annals of Statistics

Volumn 42, Issue 3, 2014, Pages 1102-1130

  Pati, Debdeep ^a   Bhattacharya, Anirban ^a   Pillai, Natesh S ^a   Dunson, David ^a  

^a FLORIDA STATE UNIVERSITY   (United States)

Author keywords

Bayesian estimation; Covariance matrix; Factor model; Rate of convergence; Shrinkage; Sparsity

Indexed keywords

EID: 84902465916     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/14-AOS1215     Document Type: Article

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