Bayesian Sparse Spiked Covariance Model with a Continuous Matrix Shrinkage Prior
Author:
Affiliation:
1. Department of Statistics, Indiana University
2. Department of Statistics, University of Pittsburgh
3. Department of Applied Mathematics and Statistics, Johns Hopkins University
Publisher
Institute of Mathematical Statistics
Subject
Applied Mathematics,Statistics and Probability
Reference41 articles.
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2. Bhattacharya, A., Pati, D., Pillai, N. S., and Dunson, D. B. (2015). “Dirichlet-Laplace priors for optimal shrinkage.” Journal of the American Statistical Association, 110(512): 1479–1490. PMID: 27019543.
3. Cai, T. T., Ma, Z., and Wu, Y. (2013). “Sparse PCA: Optimal rates and adaptive estimation.” The Annals of Statistics, 41(6): 3074–3110.
4. Cai, T. T., Ren, Z., and Zhou, H. H. (2016). “Estimating structured high-dimensional covariance and precision matrices: Optimal rates and adaptive estimation.” Electron. J. Statist., 10(1): 1–59.
5. Cai, T. T. and Zhou, H. H. (2012). “Optimal rates of convergence for sparse covariance matrix estimation.” Ann. Statist., 40(5): 2389–2420.
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