Exact formulas for the normalizing constants of Wishart distributions for graphical models

Caroline Uhler, Alex Lenkoski, Donald Richards

The Annals of Statistics · 2018 · Volume 46 · Issue 1

Abstract

Gaussian graphical models have received considerable attention during the past four decades from the statistical and machine learning communities. In Bayesian treatments of this model, the $G$-Wishart distribution serves as the conjugate prior for inverse covariance matrices satisfying graphical constraints. While it is straightforward to posit the unnormalized densities, the normalizing constants of these distributions have been known only for graphs that are chordal, or decomposable. Up until now, it was unknown whether the normalizing constant for a general graph could be represented explicitly, and a considerable body of computational literature emerged that attempted to avoid this apparent intractability. We close this question by providing an explicit representation of the $G$-Wishart normalizing constant for general graphs.

Keywords

$G$-Wishart distribution, 60E05, 62E15, 62H05, Bartlett decomposition, Bipartite graph, Cholesky decomposition, chordal graph, Directed acyclic graph, Gaussian graphical model, generalized hypergeometric function of matrix argument, moral graph, normalizing constant, Wishart distribution

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