Open Access
Translator Disclaimer
2021 Maximum pairwise Bayes factors for covariance structure testing
Kyoungjae Lee, Lizhen Lin, David Dunson
Author Affiliations +
Electron. J. Statist. 15(2): 4384-4419 (2021). DOI: 10.1214/21-EJS1900

Abstract

Hypothesis testing of structure in covariance matrices is of significant importance, but faces great challenges in high-dimensional settings. Although consistent frequentist one-sample covariance tests have been proposed, there is a lack of simple, computationally scalable, and theoretically sound Bayesian testing methods for large covariance matrices. Motivated by this gap and by the need for tests that are powerful against sparse alternatives, we propose a novel testing framework based on the maximum pairwise Bayes factor. Our initial focus is on one-sample covariance testing; the proposed test can optimally distinguish null and alternative hypotheses in a frequentist asymptotic sense. We then propose diagonal tests and a scalable covariance graph selection procedure that are shown to be consistent. A simulation study evaluates the proposed approach relative to competitors. We illustrate advantages of our graph selection method on a gene expression data set.

Funding Statement

We would like to acknowledge the generous support of NSF grants DMS CAREER 1654579 and DMS 2113642. This research was also supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No.2020R1A4A1018207).

Acknowledgments

We are very grateful to the Associate Editor and the reviewer for their valuable comments which have led to improvement in our paper.

Citation

Download Citation

Kyoungjae Lee. Lizhen Lin. David Dunson. "Maximum pairwise Bayes factors for covariance structure testing." Electron. J. Statist. 15 (2) 4384 - 4419, 2021. https://doi.org/10.1214/21-EJS1900

Information

Received: 1 November 2020; Published: 2021
First available in Project Euclid: 14 September 2021

Digital Object Identifier: 10.1214/21-EJS1900

Keywords: Bayesian hypothesis test , covariance structure testing , modularization

JOURNAL ARTICLE
36 PAGES


SHARE
Vol.15 • No. 2 • 2021
Back to Top