Laplace approximation in high-dimensional Bayesian regression

DOI10.1007/978-3-319-27099-9_2MaRDI QIDQ2956739zbMATH OpenOpenAlexWikidataFDO

Authors Rina Foygel Barber, Mathias Drton, Kean Ming Tan

Publication date 19 January 2017

Published in Statistical Analysis for High-Dimensional Data (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.08337

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Abstract: We consider Bayesian variable selection in sparse high-dimensional regression, where the number of covariates $p$ may be large relative to the samples size $n$, but at most a moderate number $q$ of covariates are active. Specifically, we treat generalized linear models. For a single fixed sparse model with well-behaved prior distribution, classical theory proves that the Laplace approximation to the marginal likelihood of the model is accurate for sufficiently large sample size $n$. We extend this theory by giving results on uniform accuracy of the Laplace approximation across all models in a high-dimensional scenario in which $p$ and $q$, and thus also the number of considered models, may increase with $n$. Moreover, we show how this connection between marginal likelihood and Laplace approximation can be used to obtain consistency results for Bayesian approaches to variable selection in high-dimensional regression.

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