Adrian Dobra, Alex Lenkoski and Abel Rodriguez
06/06/2010 09:00 AM
Applied Mathematics & Statistics
We introduce efficient Markov chain Monte Carlo methods for inference and model determination in multivariate and matrix-variate Gaussian graphical models. Our framework is based on the G-Wishart prior for the precision matrix associated with graphs that can be decomposable or non-decomposable. We extend our sampling algorithms to a novel class of conditionally autoregressive models for sparse estimation in multivariate lattice data, with a special emphasis on the analysis of spatial data. These models embed a great deal of flexibility in estimating both the correlation structure across outcomes and the spatial correlation structure, thereby allowing for adaptive smoothing and spatial autocorrelation parameters. Our methods are illustrated using simulated and real-world examples, including an application to cancer mortality surveillance.
