April 2008
To appear in: Annals of Statistics
In this paper, we propose a class of Bayes estimators for the covariance matrix of graphical Gaussian models Markov with respect to a decomposable graph G. Working with the W_{P_G} family we derive closed-form expressions for Bayes estimators under the entropy and squared-error losses. The W_{P_G} family defined by Letac and Massam (2007) includes the classical inverse of the hyper inverse Wishart but has many more shape parameters, thus allowing for flexibility in differentially shrinking various parts of the covariance matrix. Moreover, using this family avoids recourse to MCMC, often infeasible in high-dimensional problems. We illustrate the performance of our estimators through a collection of numerical examples where we explore frequentist risk properties and the efficacy of graphs in the estimation of high-dimensional covariance structures.