GHS swMATH ID: 37217 Software Authors: Yunfan Li, Bruce A. Craig, Anindya Bhadra Description: GHS: The Graphical Horseshoe Estimator for Inverse Covariance Matrices. We develop a new estimator of the inverse covariance matrix for high-dimensional multivariate normal data using the horseshoe prior. The proposed graphical horseshoe estimator has attractive properties compared to other popular estimators, such as the graphical lasso and graphical Smoothly Clipped Absolute Deviation (SCAD). The most prominent benefit is that when the true inverse covariance matrix is sparse, the graphical horseshoe provides estimates with small information divergence from the true sampling distribution. The posterior mean under the graphical horseshoe prior can also be almost unbiased under certain conditions. In addition to these theoretical results, we also provide a full Gibbs sampler for implementing our estimator. MATLAB code is available for download from github at this http URL. The graphical horseshoe estimator compares favorably to existing techniques in simulations and in a human gene network data analysis. Homepage: https://arxiv.org/abs/1707.06661 Source Code: https://github.com/liyf1988/GHS Dependencies: Matlab Related Software: glasso; BDgraph; R; Matlab; rda; spcov; SSS; LaplacesDemon; GemBag; Brain Connectivity Toolbox; AFNI; HS_GHS; HDTD; GitHub; KEGG; openVA; HdBCS; EMVS; bfa; multinomineq Cited in: 10 Documents all top 5 Cited by 22 Authors 4 Bhadra, Anindya 2 Craig, Bruce A. 2 Datta, Jyotishka 2 Li, Yunfan 1 Beskos, Alexandros 1 Clark, Samuel J. 1 De Iorio, Maria 1 Guo, Ying 1 Jo, Seongil 1 Kundu, Suprateek 1 Lee, Jaeyong 1 Lee, Kyoungjae 1 Li, Zehang Richard 1 Lukemire, Joshua 1 McComick, Tyler H. 1 Mulder, Joris 1 Oya, Sakae 1 Pagnoni, Giuseppe 1 Polson, Nicholas G. 1 van den Boom, Willem 1 Willard, Brandon T. 1 Williams, Donald R. all top 5 Cited in 8 Serials 2 Journal of Multivariate Analysis 2 Journal of Computational and Graphical Statistics 1 Journal of the American Statistical Association 1 Journal of Mathematical Psychology 1 Statistical Science 1 Asia-Pacific Financial Markets 1 Statistical Methods and Applications 1 Bayesian Analysis Cited in 3 Fields 10 Statistics (62-XX) 2 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Biology and other natural sciences (92-XX) Citations by Year