Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects
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Abstract: When performing Bayesian data analysis using a general linear mixed model, the resulting posterior density is almost always analytically intractable. However, if proper conditionally conjugate priors are used, there is a simple two-block Gibbs sampler that is geometrically ergodic in nearly all practical settings, including situations where (Abrahamsen and Hobert, 2017). Unfortunately, the (conditionally conjugate) multivariate normal prior on does not perform well in the high-dimensional setting where . In this paper, we consider an alternative model in which the multivariate normal prior is replaced by the normal-gamma shrinkage prior developed by Griffin and Brown (2010). This change leads to a much more complex posterior density, and we develop a simple MCMC algorithm for exploring it. This algorithm, which has both deterministic and random scan components, is easier to analyze than the more obvious three-step Gibbs sampler. Indeed, we prove that the new algorithm is geometrically ergodic in most practical settings.
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Cited in
(6)- Asynchronous and Distributed Data Augmentation for Massive Data Settings
- Approximate uniform shrinkage prior for a multivariate generalized linear mixed model
- Bayesian hierarchical models with conjugate full-conditional distributions for dependent data from the natural exponential family
- Trace class Markov chains for the normal-gamma Bayesian shrinkage model
- Scalable approximate MCMC algorithms for the horseshoe prior
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
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