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Sparse Bayesian infinite factor models
We focus on sparse modelling of high-dimensional covariance matrices using Bayesian latent factor models. We propose a multiplicative gamma process shrinkage prior on the factor loadings which allows introduction of infinitely many factors, with the loadings increasingly shrunk towards zero as the c...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Oxford University Press
2011
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3419391/ https://ncbi.nlm.nih.gov/pubmed/23049129 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/asr013 |
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