MODEL SELECTION IN THE SPACE OF GAUSSIAN MODELS INVARIANT BY SYMMETRY Piotr Graczyk, Hideyuki Ishi, Bartosz Kolodziejek, Helene Massam To cite this version: Piotr Graczyk, Hideyuki Ishi, Bartosz Kolodziejek, Helene Massam. MODEL SELECTION IN THE SPACE OF GAUSSIAN MODELS INVARIANT BY SYMMETRY. 2020. hal-02564982 HAL Id: hal-02564982 https://hal.archives-ouvertes.fr/hal-02564982 Preprint submitted on 6 May 2020 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Submitted to the Annals of Statistics MODEL SELECTION IN THE SPACE OF GAUSSIAN MODELS INVARIANT BY SYMMETRY BY PIOTR GRACZYK1,HIDEYUKI ISHI2 *,BARTOSZ KOŁODZIEJEK3† AND HÉLÈNE MASSAM4‡ 1Université d’Angers, France,
[email protected] 2Osaka City University, Japan,
[email protected] 3Warsaw University of Technology, Poland,
[email protected] 4York University, Canada,
[email protected] We consider multivariate centred Gaussian models for the random vari- able Z = (Z1;:::;Zp), invariant under the action of a subgroup of the group of permutations on f1; : : : ; pg. Using the representation theory of the sym- metric group on the field of reals, we derive the distribution of the maxi- mum likelihood estimate of the covariance parameter Σ and also the analytic expression of the normalizing constant of the Diaconis-Ylvisaker conjugate prior for the precision parameter K = Σ−1.