Bayesian sparse linear regression with unknown symmetric error

DOI10.1093/IMAIAI/IAY022MaRDI QIDQ5006504zbMATH OpenOpenAlexWikidataFDO

Authors Minwoo Chae, Lizhen Lin, David Dunson

Publication date 16 August 2021

Published in Information and Inference: A Journal of the IMA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.02143

zbMATH Keywords

adaptive contraction ratesBernstein-von Mises theoremDirichlet process mixturehigh-dimensional semi-parametric modelsparse priorsymmetric error

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Abstract: We study full Bayesian procedures for sparse linear regression when errors have a symmetric but otherwise unknown distribution. The unknown error distribution is endowed with a symmetrized Dirichlet process mixture of Gaussians. For the prior on regression coefficients, a mixture of point masses at zero and continuous distributions is considered. We study behavior of the posterior with diverging number of predictors. Conditions are provided for consistency in the mean Hellinger distance. The compatibility and restricted eigenvalue conditions yield the minimax convergence rate of the regression coefficients in $el{l}_1$- and $el{l}_2$-norms, respectively. The convergence rate is adaptive to both the unknown sparsity level and the unknown symmetric error density under compatibility conditions. In addition, strong model selection consistency and a semi-parametric Bernstein-von Mises theorem are proven under slightly stronger conditions.

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Cited in

(12)

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• Bayesian high-dimensional semi-parametric inference beyond sub-Gaussian errors
• Bayesian linear regression for multivariate responses under group sparsity
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• Variational Bayes for High-Dimensional Linear Regression With Sparse Priors
• Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
• Adaptive variational Bayes: optimality, computation and applications
• Concentration of posterior model probabilities and normalized \({L_0}\) criteria
• Advances in Bayesian model selection consistency for high-dimensional generalized linear models
• Efficient sparse high-dimensional linear regression with a partitioned empirical Bayes ECM algorithm
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