Spike and slab empirical Bayes sparse credible sets

DOI10.3150/19-BEJ1119zbMath1441.62077arXiv1808.07721OpenAlexW2990592529MaRDI QIDQ2278657

Ismaël Castillo, Botond Szabó

Publication date: 5 December 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.07721

zbMATH Keywords

empirical Bayescredible setsconvergence rates of posterior distributionsspike and slab prior distributions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Bayesian inference (62F15)

Related Items (13)

Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences ⋮ Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression ⋮ Fast exact Bayesian inference for sparse signals in the normal sequence model ⋮ Variational Bayes for High-Dimensional Linear Regression With Sparse Priors ⋮ Empirical priors and coverage of posterior credible sets in a sparse normal mean model ⋮ Empirical Bayes analysis of spike and slab posterior distributions ⋮ Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors ⋮ On spike and slab empirical Bayes multiple testing ⋮ Empirical Bayes oracle uncertainty quantification for regression ⋮ Spike and slab empirical Bayes sparse credible sets ⋮ Needles and straw in a haystack: robust confidence for possibly sparse sequences ⋮ Coverage of credible intervals in nonparametric monotone regression ⋮ Minimax predictive density for sparse count data

Uses Software

• EBayesThresh

Cites Work

• Unnamed Item
• Conditions for posterior contraction in the sparse normal means problem
• Adaptive confidence sets in \(L^2\)
• Nonparametric Bernstein-von Mises theorems in Gaussian white noise
• Asymptotically minimax empirical Bayes estimation of a sparse normal mean vector
• The horseshoe estimator: posterior concentration around nearly black vectors
• Honest Bayesian confidence sets for the \(L^2\)-norm
• On nonparametric confidence intervals
• Uncertainty quantification for the horseshoe (with discussion)
• Empirical Bayes analysis of spike and slab posterior distributions
• Bayesian estimation of sparse signals with a continuous spike-and-slab prior
• Reconstruction of sparse vectors in white Gaussian noise
• Non-asymptotic minimax rates of testing in signal detection
• Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences
• Needles and straw in a haystack: posterior concentration for possibly sparse sequences
• Empirical Bayes oracle uncertainty quantification for regression
• Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
• Spike and slab empirical Bayes sparse credible sets
• Needles and straw in a haystack: robust confidence for possibly sparse sequences
• General maximum likelihood empirical Bayes estimation of normal means
• Adaptive posterior contraction rates for the horseshoe
• Confidence sets in sparse regression
• Adaptive nonparametric confidence sets
• Adapting to unknown sparsity by controlling the false discovery rate
• Frequentist coverage of adaptive nonparametric Bayesian credible sets
• Empirical Bayes selection of wavelet thresholds
• Calibration and empirical Bayes variable selection
• Mathematical Foundations of Infinite-Dimensional Statistical Models
• The horseshoe estimator for sparse signals
• The Spike-and-Slab LASSO
• Bayesian Model Selection in High-Dimensional Settings
• Dirichlet–Laplace Priors for Optimal Shrinkage
• Gaussian model selection

This page was built for publication: Spike and slab empirical Bayes sparse credible sets