The cost of using decomposable Gaussian graphical models for computational convenience
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2012.01.020
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aliye Atay-Kayis & Helène Massam, 2005. "A Monte Carlo method for computing the marginal likelihood in nondecomposable Gaussian graphical models," Biometrika, Biometrika Trust, vol. 92(2), pages 317-335, June.
- Alberto Roverato, 2002. "Hyper Inverse Wishart Distribution for Non‐decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(3), pages 391-411, September.
- Frederick Wong, 2003. "Efficient estimation of covariance selection models," Biometrika, Biometrika Trust, vol. 90(4), pages 809-830, December.
- Mathias Drton & Michael Eichler, 2006. "Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 247-257, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Carter, Christopher K. & Wong, Frederick & Kohn, Robert, 2011. "Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 871-883, May.
- Donatello Telesca & Peter Müller & Steven M. Kornblau & Marc A. Suchard & Yuan Ji, 2012. "Modeling Protein Expression and Protein Signaling Pathways," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1372-1384, December.
- Helen Armstrong & Christopher K. Carter & Kevin K. F. Wong & Robert Kohn, 2007. "Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models," Discussion Papers 2007-13, School of Economics, The University of New South Wales.
- Junghi Kim & Kim‐Anh Do & Min Jin Ha & Christine B. Peterson, 2019. "Bayesian inference of hub nodes across multiple networks," Biometrics, The International Biometric Society, vol. 75(1), pages 172-182, March.
- Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
- Anindya Bhadra & Arvind Rao & Veerabhadran Baladandayuthapani, 2018. "Inferring network structure in non†normal and mixed discrete†continuous genomic data," Biometrics, The International Biometric Society, vol. 74(1), pages 185-195, March.
- Giraud Christophe & Huet Sylvie & Verzelen Nicolas, 2012. "Graph Selection with GGMselect," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 11(3), pages 1-52, February.
- MohammadAmin Fazli & Parsa Alian & Ali Owfi & Erfan Loghmani, 2021. "RPS: Portfolio Asset Selection using Graph based Representation Learning," Papers 2111.15634, arXiv.org.
- Pesaran, M. Hashem & Yamagata, Takashi, 2012.
"Testing CAPM with a Large Number of Assets,"
IZA Discussion Papers
6469, Institute of Labor Economics (IZA).
- M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers 12/05, Department of Economics, University of York.
- Arbia, Giuseppe & Bramante, Riccardo & Facchinetti, Silvia & Zappa, Diego, 2018. "Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation," Regional Science and Urban Economics, Elsevier, vol. 70(C), pages 72-79.
- Bo Cai & David B. Dunson, 2006. "Bayesian Covariance Selection in Generalized Linear Mixed Models," Biometrics, The International Biometric Society, vol. 62(2), pages 446-457, June.
- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"Multivariate Stochastic Volatility,"
Microeconomics Working Papers
22058, East Asian Bureau of Economic Research.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Christine Peterson & Francesco C. Stingo & Marina Vannucci, 2015. "Bayesian Inference of Multiple Gaussian Graphical Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 159-174, March.
- Peña Jose M., 2020. "Unifying Gaussian LWF and AMP Chain Graphs to Model Interference," Journal of Causal Inference, De Gruyter, vol. 8(1), pages 1-21, January.
- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper series 51_10, Rimini Centre for Economic Analysis, revised Apr 2011.
- Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
- Laurenţiu Cătălin Hinoveanu & Fabrizio Leisen & Cristiano Villa, 2020. "A loss‐based prior for Gaussian graphical models," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 62(4), pages 444-466, December.
- David Chan & Robert Kohn & Chris Kirby, 2006. "Multivariate Stochastic Volatility Models with Correlated Errors," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 245-274.
- M. Hashem Pesaran & Takashi Yamagata, 2017.
"Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities,"
CESifo Working Paper Series
6432, CESifo.
- M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers 17/04, Department of Economics, University of York.
More about this item
Keywords
Graphical model; Covariance selection; Decomposable models; Regularization; Small-sample inference;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:56:y:2012:i:8:p:2430-2441. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.