{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/bayesian-covariance-estimation-for-multi","title":"Bayesian Covariance Estimation for Multi-group Matrix-variate Data","arxiv_id":"2302.09211","date":"2023-02-18","proceeding":null,"authors":["Elizabeth Bersson","Peter D. Hoff"],"abstract":"Multi-group covariance estimation for matrix-variate data with small within group sample sizes is a key part of many data analysis tasks in modern applications. To obtain accurate group-specific covariance estimates, shrinkage estimation methods which shrink an unstructured, group-specific covariance either across groups towards a pooled covariance or within each group towards a Kronecker structure have been developed. However, in many applications, it is unclear which approach will result in more accurate covariance estimates. In this article, we present a hierarchical prior distribution which flexibly allows for both types of shrinkage. The prior linearly combines shrinkage across groups towards a shared pooled covariance and shrinkage within groups towards a group-specific Kronecker covariance. We illustrate the utility of the proposed prior in speech recognition and an analysis of chemical exposure data.","url_abs":"https://arxiv.org/abs/2302.09211v2","url_pdf":"https://arxiv.org/pdf/2302.09211v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"bayesian-covariance-estimation-for-multi","repo_url":"https://github.com/betsybersson/swag","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}