Covariance Decompositions for Accurate Computation in Bayesian Scale-Usage Models Online Supplemental Materials
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چکیده
C.2 Exchangeable correlation structure Suppose that, among the coordinates of Yi | μ, τi, σ i , a set of variables is exchangeable in the sense that the correlation matrix C remains unchanged under any permutation of these variables. In this case, the following proposition shows that an optimal D based on the correlation matrix C = V−1/2ΣV−1/2 has equal diagonal elements at the exchangeable coordinates.
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