Bhattacharya, A.; Dunson, D. B. - In: Biometrika 98 (2011) 2, pp. 291-306
We focus on sparse modelling of high-dimensional covariance matrices using Bayesian latent factor models. We propose a multiplicative gamma process shrinkage prior on the factor loadings which allows introduction of infinitely many factors, with the loadings increasingly shrunk towards zero as...