Bayesian precision and covariance matrix estimation for graphical Gaussian models with edge and vertex symmetries

H Massam, Q Li and X Gao

Biometrika, 2018, vol. 105, issue 2, 371-388

Abstract: SUMMARYGraphical Gaussian models with edge and vertex symmetries were introduced by Højsgaard & Lauritzen (2008), who gave an algorithm for computing the maximum likelihood estimate of the precision matrix for such models. In this paper, we take a Bayesian approach to its estimation. We consider only models with symmetry constraints and which thus form a natural exponential family with the precision matrix as the canonical parameter. We identify the Diaconis–Ylvisaker conjugate prior for these models, develop a scheme to sample from the prior and posterior distributions, and thus obtain estimates of the posterior mean of the precision and covariance matrices. Such a sampling scheme is essential for model selection in coloured graphical Gaussian models. In order to verify the precision of our estimates, we derive an analytic expression for the expected value of the precision matrix when the graph underlying our model is a tree, a complete graph on three vertices, or a decomposable graph on four vertices with various symmetries, and we compare our estimates with the posterior mean of the precision matrix and the expected mean of the coloured graphical Gaussian model, that is, of the covariance matrix. We also verify the accuracy of our estimates on simulated data.

Keywords: Coloured graph; Conditional independence; Conjugate prior; Covariance estimation; Precision matrix; Symmetry (search for similar items in EconPapers)
Date: 2018
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