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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
Bayesian Factor Analysis Based on Concen tration 191
Suppo se then that we have s e lec ted the factor model with q factors. This
says that the true corr e lation matrix satisfies (9.3) and we must estimate R
so that our estimate is in H
q
0
. Naturally we want to maximize the relative
belief ratio RB(R) for R H
q
0
but this is computationally difficult as the s e t
is not convex. Note that this also rules out using the co nditiona l expectation
given that R H
q
0
, as we are not guaranteed that this value is in H
q
0
. We
can, however, use the following approximation. Let
ˆ
R denote the plug-in MLE
of R, i.e., the estimate obtained from the MLE of Σ given by (
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Publisher Resources

ISBN: 9781482235128