Models of Random Sparse Eigenmatrices and Bayesian Analysis of Multivariate Structure

@article{Cron2016ModelsOR,
  title={Models of Random Sparse Eigenmatrices and Bayesian Analysis of Multivariate Structure},
  author={Andrew Cron and M. West},
  journal={arXiv: Methodology},
  year={2016},
  pages={125-153}
}
  • Andrew Cron, M. West
  • Published 2016
  • Computer Science, Mathematics
  • arXiv: Methodology
  • We discuss probabilistic models of random covariance structures defined by distributions over sparse eigenmatrices. The decomposition of orthogonal matrices in terms of Givens rotations defines a natural, interpretable framework for defining distributions on sparsity structure of random eigenmatrices. We explore theoretical aspects and implications for conditional independence structures arising in multivariate Gaussian models, and discuss connections with sparse PCA, factor analysis and… CONTINUE READING
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