논문

요약

Eigenstructure Inference for High-Dimensional Covariance with Generalized Shrinkage Inverse-Wishart Page 1 Eigenstructure Inference for High-Dimensional Covariance with Generalized Shrinkage Inverse-Wishart Jaeyong Lee Department of Statistics Seoul National University June 11th 2025 Jointly with Seongmin Kim (Seoul National University, South Korea) Kwangmin Lee (Chonnam National University, South Korea) Sewon Park (Samsung SDS, South Korea) Page 2 Content Difficulties in the Inference of High-Dimensional Covariances Normal model with spiked covariance Inverse-Wishart prior Generalized Shrinkage Inverse-Wishart prior Theoretical Results for the posterior with gSIW prior Simulation Studies Page 3 Content Difficulties in the Inference of High-Dimensional Covariances Normal model with spiked covariance Inverse-Wishart prior Generalized Shrinkage Inverse-Wishart prior Theoretical …