Archive for G-Wishart distribution

normalising constants of G-Wishart densities

Posted in Books, Statistics with tags , , , , , , on June 28, 2017 by xi'an

Abdolreza Mohammadi, Hélène Massam, and Gérard Letac arXived last week a paper on a new approximation of the ratio of two normalising constants associated with two G-Wishart densities associated with different graphs G. The G-Wishart is the generalisation of the Wishart distribution by Alberto Roverato to the case when some entries of the matrix are equal to zero, which locations are associated with the graph G. While enjoying the same shape as the Wishart density, this generalisation does not enjoy a closed form normalising constant. Which leads to an intractable ratio of normalising constants when doing Bayesian model selection across different graphs.

Atay-Kayis and Massam (2005) expressed the ratio as a ratio of two expectations, and the current paper shows that this leads to an approximation of the ratio of normalising constants for a graph G against the graph G augmented by the edge e, equal to

Γ(½{δ+d}) / 2 √π Γ(½{δ+d+1})

where δ is the degree of freedom of the G-Wishart and d is the number of minimal paths of length 2 linking the two end points of e. This is remarkably concise and provides a fast approximation. (The proof is quite involved, by comparison.) Which can then be used in reversible jump MCMC. The difficulty is obviously in evaluating the impact of the approximation on the target density, as there is no manageable available alternative to calibrate the approximation. In a simulation example where such an alternative is available, the error is negligible though.