A Bayesian method is proposed for estimating an inverse covariance matrix from Gaussian data. The method is based on a prior that allows the off-diagonal elements of the inverse covariance matrix to ...

We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000) to constructing robust M tests without consistent estimation of the asymptotic covariance matrix. We demonstrate that, when model ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.