Title: Bayesian estimation of correlation matrices of longitudinal data
Authors: Riddhi Pratim Ghosh - Bowling Green State University (United States) [presenting]
Bani Mallick - Texas A&M University (United States)
Mohsen Pourahmadi - Texas A and M University (United States)
Abstract: Estimation of correlation matrices is a challenging problem due to the notorious positive-definiteness constraint and high dimensionality. Reparameterising Cholesky factors of correlation matrices in terms of angles or hyperspherical coordinates where the angles vary freely in the range $[0, \pi)$ has become popular in the last two decades. However, it has not been used in Bayesian estimation of correlation matrices, perhaps due to a lack of clear statistical relevance and suitable priors for the angles. We show for the first time that for longitudinal data, these angles are the inverse cosine of the semi-partial correlations (SPCs). This simple connection makes it possible to introduce physically meaningful selection and shrinkage priors on the angles or correlation matrices with emphasis on selection (sparsity) and shrinking towards the longitudinal structure. Our method deals effectively with the positive-definiteness constraint in posterior computation. We compare the performance of our bayesian estimation based on angles with some recent methods based on partial autocorrelations through simulation and apply the method to data related to a clinical trial on smoking.