Objective Bayes factors for Gaussian directed acyclic graphical models

Guido Consonni, Davide Altomare, Luca La Rocca

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

20 Citazioni (Scopus)

Abstract

We propose an objective Bayesian method for the comparison of all Gaussian directed acyclic graphical models defined on a given set of variables. The method, which is based on the notion of fractional Bayes factor (BF), requires a single default (typically improper) prior on the space of unconstrained covariance matrices, together with a prior sample size hyper-parameter, which can be set to its minimal value. We show that our approach produces genuine BFs. The implied prior on the concentration matrix of any complete graph is a data-dependent Wishart distribution, and this in turn guarantees that Markov equivalent graphs are scored with the same marginal likelihood. We specialize our results to the smaller class of Gaussian decomposable undirected graphical models and show that in this case they coincide with those recently obtained using limiting versions of hyper-inverse Wishart distributions as priors on the graph-constrained covariance matrices
Lingua originaleEnglish
pagine (da-a)743-756
Numero di pagine14
RivistaScandinavian Journal of Statistics
Volume39
DOI
Stato di pubblicazionePubblicato - 2012

Keywords

  • Bayesian model selection
  • Structural learning
  • fractional Bayes factor

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