Objective Bayesian Analysis for Differential Gaussian Directed Acyclic Graphs
Andrea Artaria, Guido Consonni · BOA (University of Milano-Bicocca) · 2014
Often we are confronted with heterogeneous multivariate data, i.e., data coming from several categories, and the interest may center on the differential structure of stochastic dependence among the variables between the groups. The focus in this work is on the two groups problem and is faced modeling the system through a Gaussian directed acyclic graph (DAG) couple linked in a fashion to obtain a joint estimation in order to exploit, whenever they exist, similarities between the graphs. The model can be viewed as a set of separate regressions and the proposal consists in assigning a non-local prior to the regression coefficients with the objective of enforcing stronger sparsity constraints on model selection. The model selection is based on Moment Fractional Bayes Factor, and is performed through a stochastic search algorithm over the space of DAG models.