Structured prior distributions for the covariance matrix in latent factor models
(2024)
Journal Article
Heaps, S. E., & Jermyn, I. H. (2024). Structured prior distributions for the covariance matrix in latent factor models. Statistics and Computing, 34(4), Article 143. https://doi.org/10.1007/s11222-024-10454-0
Factor models are widely used for dimension reduction in the analysis of multivariate data. This is achieved through decomposition of a p×p covariance matrix into the sum of two components. Through a latent factor representation, they can be interpre... Read More about Structured prior distributions for the covariance matrix in latent factor models.