JSM 2005 - Toronto

Abstract #304245

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 56
Type: Topic Contributed
Date/Time: Sunday, August 7, 2005 : 4:00 PM to 5:50 PM
Sponsor: Section on Bayesian Statistical Science
Abstract - #304245
Title: Bayesian Correlation Estimation and Applications
Author(s): Merrill Liechty*+ and John Liechty and Peter Mueller
Companies: Drexel University and The Pennsylvania State University and The University of Texas M. D. Anderson Cancer Center
Address: Lebow College of Business, Philadelphia, PA, 19104, United States
Keywords: Covariance matrix ; Mixture prior ; Separtaion strategy
Abstract:

We use a general framework for prior probability models for correlation matrices. Individual correlations and variables can be put into clusters or groups within this framework by using mixture prior distributions. MCMC methods allow for efficient sampling of these models, and posterior inference regarding which group a correlation or variable belongs to is straightforward. We explore additional applications, such as time-varying correlation models.

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Revised March 2005