Bayesian Computation for High-dimensional Gaussian Graphical Models with Spike-and-Slab Priors

Deborah Sulem (), Jack Jewson () and David Rossell ()

No 10/25, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Gaussian graphical models are widely used to infer dependence structures. Bayesian methods are appealing to quantify uncertainty associated with structural learning, i.e., the plausibility of conditional independence statements given the data, and parameter estimates. However, computational demands have limited their application when the number of variables is large, which prompted the use of pseudo-Bayesian approaches. We propose fully Bayesian algorithms that provably scale to high dimensions when the data-generating precision matrix is sparse, at a similar cost to the best pseudo-Bayesian methods. First, a Metropolis-Hastings-within-Block-Gibbs algorithm that allows row-wise updates of the precision matrix, using local moves. Second, a global proposal that enables adding or removing multiple edges within a row, which can help explore multi-modal posteriors. We obtain spectral gap bounds for both samplers that are dimension-free under suitable settings.

Keywords: scalable Bayesian algorithms; Gibbs; Metropolis-within-Gibbs; spectral gap; Gaussian graphical models; spike-and-slab priors (search for similar items in EconPapers)
Date: 2025
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