Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects (Q1755112): Difference between revisions
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Revision as of 22:53, 18 April 2024
scientific article
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English | Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects |
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Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects (English)
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4 January 2019
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The paper under review deals with performing Bayesian data analysis using a general linear mixed model. Since the (conditionally conjugate) multivariate Gaussian prior on \(\beta\) coefficients does not perform well in the high-dimensional setting, the authors consider a model in which this prior is replaced by the normal-gamma shrinkage prior developed by \textit{J. E. Griffin} and \textit{P. J. Brown} [Bayesian Anal. 5, No. 1, 171--188 (2010; Zbl 1330.62128)]. The resulting posterior density is complex, and the authors develop a MCMC algorithm for exploring it. This algorithm is easier to analyze than the more obvious three-step Gibbs sampler. And it is proved that the algorithm is geometrically ergodic in many practical settings.
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Bayesian shrinkage prior
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geometric drift condition
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geometric ergodicity
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high-dimensional inference
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Markov chain Monte Carlo
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