Related papers: Posterior contraction in sparse Bayesian factor mo…
In this paper, we propose a new Bayesian inference method for a high-dimensional sparse factor model that allows both the factor dimensionality and the sparse structure of the loading matrix to be inferred. The novelty is to introduce a…
We propose a Bayesian methodology for estimating spiked covariance matrices with jointly sparse structure in high dimensions. The spiked covariance matrix is reparametrized in terms of the latent factor model, where the loading matrix is…
There has been increased research interest in the subfield of sparse Bayesian factor analysis with shrinkage priors, which achieve additional sparsity beyond the natural parsimonity of factor models. In this spirit, we estimate the number…
Recent works have shown an interest in investigating the frequentist asymptotic properties of Bayesian procedures for high-dimensional linear models under sparsity constraints. However, there exists a gap in the literature regarding…
Gaussian mixture models are a popular tool for model-based clustering, and mixtures of factor analyzers are Gaussian mixture models having parsimonious factor covariance structure for mixture components. There are several recent extensions…
We study full Bayesian procedures for high-dimensional linear regression under sparsity constraints. The prior is a mixture of point masses at zero and continuous distributions. Under compatibility conditions on the design matrix, the…
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stochastic factors. The use of a global-local shrinkage prior for…
As a principled dimension reduction technique, factor models have been widely adopted in social science, economics, bioinformatics, and many other fields. However, in high-dimensional settings, conducting a 'correct' Bayesianfactor analysis…
We consider sparse Bayesian estimation in the classical multivariate linear regression model with $p$ regressors and $q$ response variables. In univariate Bayesian linear regression with a single response $y$, shrinkage priors which can be…
In recent years, shrinkage priors have received much attention in high-dimensional data analysis from a Bayesian perspective. Compared with widely used spike-and-slab priors, shrinkage priors have better computational efficiency. But the…
This paper investigates the high-dimensional linear regression with highly correlated covariates. In this setup, the traditional sparsity assumption on the regression coefficients often fails to hold, and consequently many model selection…
Two-component mixture priors provide a traditional way to induce sparsity in high-dimensional Bayes models. However, several aspects of such a prior, including computational complexities in high-dimensions, interpretation of exact zeros and…
We propose a novel approach to estimating the precision matrix of multivariate Gaussian data that relies on decomposing them into a low-rank and a diagonal component. Such decompositions are very popular for modeling large covariance…
In this paper, we propose a scalable Bayesian method for sparse covariance matrix estimation by incorporating a continuous shrinkage prior with a screening procedure. In the first step of the procedure, the off-diagonal elements with small…
We study posterior contraction rates for a class of deep Gaussian process priors applied to the nonparametric regression problem under a general composition assumption on the regression function. It is shown that the contraction rates can…
We study the sparse high-dimensional Gaussian mixture model when the number of clusters is allowed to grow with the sample size. A minimax lower bound for parameter estimation is established, and we show that a constrained maximum…
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a…
We propose Bayesian methods for Gaussian graphical models that lead to sparse and adaptively shrunk estimators of the precision (inverse covariance) matrix. Our methods are based on lasso-type regularization priors leading to parsimonious…
We use rescaled Gaussian processes as prior models for functional parameters in nonparametric statistical models. We show how the rate of contraction of the posterior distributions depends on the scaling factor. In particular, we exhibit…
Statistical inference for sparse covariance matrices is crucial to reveal dependence structure of large multivariate data sets, but lacks scalable and theoretically supported Bayesian methods. In this paper, we propose beta-mixture…