Abstract
We consider Bayesian inference of banded covariance matrices and propose a post-processed posterior. The post-processing of the posterior consists of two steps. In the first step, posterior samples are obtained from the conjugate inverse-Wishart posterior, which does not satisfy any structural restrictions. In the second step, the posterior samples are transformed to satisfy the structural restriction through a post-processing function. The conceptually straightforward procedure of the post-processed posterior makes its computation efficient and can render interval estimators of functionals of covariance matrices. We show that it has nearly optimal minimax rates for banded covariances among all possible pairs of priors and post-processing functions. Additionally, we provide a theorem on the credible set of the post-processed posterior under the finite dimension assumption. We prove that the expected coverage probability of the highest posterior density region of the post-processed posterior is asymptotically with respect to any conventional posterior distribution. It implies that the highest posterior density region of the post-processed posterior is, on average, a credible set of conventional posterior. The advantages of the post-processed posterior are demonstrated by a simulation study and a real data analysis.
Funding Statement
Kwangmin Lee was supported by Chonnam National University (Grant number: 2023-0482) and the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. RS-2023-00211979). Kyoungjae Lee was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2022R1F1A1063905). Jaeyong Lee was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2018R1A2A3074973 and 2020R1A4A1018207).
Version Information
Funding information has been updated on 31 May 2023.
Citation
Kwangmin Lee. Kyoungjae Lee. Jaeyong Lee. "Post-Processed Posteriors for Banded Covariances." Bayesian Anal. 18 (3) 1017 - 1040, September 2023. https://doi.org/10.1214/22-BA1333
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