2002
DOI: 10.1111/1467-9469.00297
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Hyper Inverse Wishart Distribution for Non‐decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models

Abstract: While conjugate Bayesian inference in decomposable Gaussian graphical models is largely solved, the non-decomposable case still poses diculties concerned with the speci®cation of suitable priors and the evaluation of normalizing constants. In this paper we derive the DY-conjugate prior (Diaconis & Ylvisaker, 1979) for non-decomposable models and show that it can be regarded as a generalization to an arbitrary graph G of the hyper inverse Wishart distribution (Dawid & Lauritzen, 1993). In particular, if G is an… Show more

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Cited by 183 publications
(215 citation statements)
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“…The framework, which we refer to as Bayesian functional connectivity (BFC) analysis, makes use of a G-Wishart prior (Roverato, 2002). This prior allows the sparseness structure of estimated precision matrices to be determined by a graph G, corresponding to structural connectivity.…”
Section: Introductionmentioning
confidence: 99%
“…The framework, which we refer to as Bayesian functional connectivity (BFC) analysis, makes use of a G-Wishart prior (Roverato, 2002). This prior allows the sparseness structure of estimated precision matrices to be determined by a graph G, corresponding to structural connectivity.…”
Section: Introductionmentioning
confidence: 99%
“…However, this approach is most useful in the context of conjugate Bayesian inference, since a prior concentration matrix would have to be specified. Also, it is rather tedious to sample large sparse non-decomposable models (Roverato, 2002).…”
Section: Numerical Results For Simulated Datamentioning
confidence: 99%
“…This means that, given S 0 , we can use algorithms for maximum-likelihood estimation or Bayesian conjugate inference (Roverato 2002) as matrix completion algorithms. To this end, we first draw S 0 from a Wishart distribution…”
Section: Simulation Of Parameters Of a Homogeneous Mixed Gmmmentioning
confidence: 99%