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Sparse inverse covariance selection with mass-nonlocal priors

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  • Fagbohungbe, Taiwo
  • Zhang, Liangliang
  • Cao, Xuan

Abstract

To tackle the challenges of understanding complex multivariate relationships in high-dimensional settings, we develop a method for estimating the sparsity pattern of inverse covariance matrices. Our approach employs a generalized likelihood framework for scalable computation, integrating spike and slab priors with nonlocal slab components on the elements of the inverse covariance matrix. We implement the Bayesian model using an entry-wise Gibbs sampler and establish its theoretical consistency in high-dimensional settings under mild conditions. The practical utility of our method is demonstrated through extensive numerical studies and an application to neuropathy data analysis.

Suggested Citation

  • Fagbohungbe, Taiwo & Zhang, Liangliang & Cao, Xuan, 2025. "Sparse inverse covariance selection with mass-nonlocal priors," Statistics & Probability Letters, Elsevier, vol. 219(C).
    • Handle: RePEc:eee:stapro:v:219:y:2025:i:c:s0167715224003171
    DOI: 10.1016/j.spl.2024.110348
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    References listed on IDEAS

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    6. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
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