On the sparse Bayesian learning of linear models

DOI10.1080/03610926.2016.1158837MaRDI QIDQ5368803zbMATH OpenOpenAlexFDO

Authors Chia Chye Yee, Yves F. Atchadé

Publication date 10 October 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.03416

zbMATH Keywords

empirical Bayes inferencehigh-dimensional inferencelinear regressionsparsity

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05)

Abstract: This work is a re-examination of the sparse Bayesian learning (SBL) of linear regression models of Tipping (2001) in a high-dimensional setting. We propose a hard-thresholded version of the SBL estimator that achieves, for orthogonal design matrices, the non-asymptotic estimation error rate of $sigmasqrtslogp/sqrtn$, where $n$ is the sample size, $p$ the number of regressors, $sigma$ is the regression model standard deviation, and $s$ the number of non-zero regression coefficients. We also establish that with high-probability the estimator identifies the non-zero regression coefficients. In our simulations we found that sparse Bayesian learning regression performs better than lasso (Tibshirani (1996)) when the signal to be recovered is strong.

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