A Bayesian method constructs credible hyperrectangles from posteriors to compare high-dimensional correlation matrices in brain connectivity analysis, with theoretical guarantees under the inverse-Wishart model.
Olivier Ledoit and Michael Wolf
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Credible rectangles for high-dimensional posterior comparison
A Bayesian method constructs credible hyperrectangles from posteriors to compare high-dimensional correlation matrices in brain connectivity analysis, with theoretical guarantees under the inverse-Wishart model.