Unified Bayesian theory of sparse linear regression with nuisance parameters

DOI10.1214/21-EJS1855zbMath1471.62284arXiv2008.10230MaRDI QIDQ2044407

Seonghyun Jeong, Subhashis Ghosal

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.10230

zbMATH Keywords

high-dimensional regression; model selection consistency; sparse priors; posterior contraction rates; Bernstein-von Mises theorems

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

62F15: Bayesian inference

Related Items

Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+, Posterior contraction in group sparse logit models for categorical responses, Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error

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