Archive for G-Wishart distribution

ISBA 2021 low key

Posted in Kids, Mountains, pictures, Running, Statistics, Travel, University life, Wines with tags , , , , , , , , , , , , , , , , , , , , , , , , on July 2, 2021 by xi'an

Fourth day of ISBA (and ISB@CIRM), which was a bit low key for me as I had a longer hike with my wife in the morning, including a swim in a sea as cold as the Annecy lake last month!, but nonetheless enjoyable and crystal clear, then attacked my pile of Biometrika submissions that had accumulated beyond the reasonable since last week, chased late participants who hadn’t paid yet, reviewed a paper that was due two weeks ago, chatted with participants before they left, discussed a research problem, and as a result ended attending only four sessions over the whole day. Including one about Models and Methods for Networks and Graphs, with interesting computation challenges, esp. in block models, the session in memoriam of Hélène Massam, where Gérard Letac (part of ISB@CIRM!), Jacek Wesolowski, and Reza Mohammadi, all coauthors of Hélène, made presentations on their joint advances. Hélène was born in Marseille, actually, in 1949, and even though she did not stay in France after her École Normale studies, it was a further commemoration to attend this session in her birth-place. I also found out about them working on the approximation of a ratio of normalising constants for the G-Wishart. The last session of my data was the Susie Bayarri memorial lecture, with Tamara Roderick as the lecturer. Reporting on an impressive bunch of tricks to reduce computing costs for hierarchical models with Gaussian processes.

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.