Bayesian Estimation of Large Precision Matrix Based on Cholesky Decomposition
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DOI: 10.1007/s10114-019-7326-8
Abstract: In this paper, we consider the estimation of a high dimensional precision matrix of Gaussian graphical model. Based on the re-parameterized likelihood, we obtain the full conditional distribution of all parameters in Cholesky factor. Furthermore,… read more here.
Keywords: large precision; bayesian estimation; precision matrix; precision ... See more keywords