Bayesian nonparametric covariance regression

@article{Fox2015BayesianNC,
  title={Bayesian nonparametric covariance regression},
  author={Emily B. Fox and David B. Dunson},
  journal={Journal of Machine Learning Research},
  year={2015},
  volume={16},
  pages={2501-2542}
}
Capturing predictor-dependent correlations amongst the elements of a multivariate response vector is fundamental to numerous applied domains, including neuroscience, epidemiology, and finance. Although there is a rich literature on methods for allowing the variance in a univariate regression model to vary with predictors, relatively little has been done in the multivariate case. As a motivating example, we consider the Google Flu Trends data set, which provides indirect measurements of… CONTINUE READING
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