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Gaussian structure learning #30

Merged
merged 9 commits into from
Aug 14, 2024
Merged

Gaussian structure learning #30

merged 9 commits into from
Aug 14, 2024

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pawel-czyz
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@pawel-czyz pawel-czyz commented Aug 13, 2024

This PR adds the utilities for learning the precision matrix in Gaussian graphical models using block Gibbs samplers with two types of prior:

  1. The continuous spike-and-slab prior from H. Wang, Scaling it up: Stochastic search structure learning in graphical models (2015)
  2. The graphical horseshoe prior from Y. Li, B.A. Craig and A. Bhadra, The graphical horseshoe estimator for inverse covariance matrices (2019)

List of changes:

  • The continuous spike-and-slab sampler.
  • The graphical horseshoe sampler.
  • Quarto notebook with an example.

@pawel-czyz pawel-czyz marked this pull request as ready for review August 14, 2024 13:47
@pawel-czyz pawel-czyz merged commit 8bd8499 into main Aug 14, 2024
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@pawel-czyz pawel-czyz deleted the gaussian_structure_learning branch August 14, 2024 13:56
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