195 citations · 408 across the 22 of their papers we have counts for
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stat.CO2013
A Direct Sampler for G-Wishart Variates
Alex Lenkoski
The G-Wishart distribution is the conjugate prior for precision matrices that encode the conditional independencies of a Gaussian graphical model. While the distribution has receiv…
stat.CO2012
A Multivariate Graphical Stochastic Volatility Model
Yuan Cheng, Alex Lenkoski
The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision m…