Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood

Tomohiro Ando

研究成果: Article査読

12 被引用数 (Scopus)

抄録

The traditional Bayesian factor analysis method is extended. In contrast to the case for previous studies, the matrix variate t-distribution is utilized to provide a prior density on the latent factors. This is a natural extension of the traditional model and yields many advantages. The crucial issue is the selection of the number of factors. The marginal likelihood, constructed by asymptotic and computational approaches, is generally utilized for this problem. However, both theoretical and computational problems have arisen. In this paper, the exact marginal likelihood is derived. It enables us to evaluate posterior model probabilities without inducing the above problems. Monte Carlo experiments were conducted to examine the performance of the proposed Bayesian factor analysis modelling methodology. The simulation results show that the proposed methodology performs well.

本文言語English
ページ(範囲)1717-1726
ページ数10
ジャーナルJournal of Multivariate Analysis
100
8
DOI
出版ステータスPublished - 2009 9月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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