MCMC Estimation of Restricted Covariance Matrices
Chan, Chi Chun (Joshua); Jeliazkov, Ivan
This article is motivated by the difficulty of applying standard simulation techniques when identification constraints or theoretical considerations induce covariance restrictions in multivariate models. To deal with this difficulty, we build upon a decomposition of positive definite matrices and show that it leads to straightforward Markov chain Monte Carlo samplers for restricted covariance matrices.We introduce the approach by reviewing results for multivariate Gaussian models without...[Show more]
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|Source:||Journal of Computational and Graphical Statistics|
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