multiGGM

Bayesian inference of multiple Gaussian graphical models

Author: Christine B. Peterson

The given Matlab files for Bayesian inference of multiple graphical models are associated with the following publication:

Peterson, C., Stingo, F. and Vannucci, M. (2015). Bayesian inference of multiple Gaussian graphical models. Journal of the American Statistical Association. 110(509): 159—174.

These scripts rely on the Matlab code for G-Wishart sampling by Hao Wang associated with the following publication: Wang, H. and Li, S. (2012). Efficient Gaussian graphical model determination under G-Wishart prior distributions. Electronic Journal of Statistics. 6: 168—198.

Please cite both publications if you use this code. Thanks!

OVERVIEW OF FILES

Example_multiple_graphs.m

Basic example of running MCMC sampler and generating results summaries on a simple setting with 3 groups with identical dependence structure

MCMC_multiple_graphs.m

Code for running MCMC sampler

calc_mrf_C.m

Helper function for calculating normalizing constant for MRF prior

generate_sim1_input.m

Script to generate matrices similar to those used as input to Simulation 1

fix_matrix.m

Helper function to ensure that the random matrices generated as simulation input are in fact positive definite

Please also see here for a more scalable approach.

marinavannucci / multiGGM