Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors

DOI10.1016/J.JMVA.2013.02.004zbMath1281.62065OpenAlexW2131012367MaRDI QIDQ391581

James P. Hobert, Hee Min Choi

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.02.004

zbMATH Keywords

Markov chainsMonte Carlotrace-class operatoreigenvaluessandwich algorithmMarkov operatorsasymmetric Laplace distributiondata augmentation algorithmgeometric convergence rate

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (9)

Posterior Inference in Bayesian Quantile Regression with Asymmetric Laplace Likelihood ⋮ Spatial change of support models for differentially private decennial census counts of persons by detailed race and ethnicity ⋮ Discussion ⋮ Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors ⋮ Geometric ergodicity for Bayesian shrinkage models ⋮ A comparison theorem for data augmentation algorithms with applications ⋮ A non-iteration Bayesian sampling algorithm for robust seemingly unrelated regression \(\text{models}^*\) ⋮ A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions ⋮ Robust Bayesian seemingly unrelated regression model

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