Empirical Bayes posterior concentration in sparse high-dimensional linear models

DOI10.3150/15-BEJ797zbMATH Open1450.62085arXiv1406.7718OpenAlexW3103712593MaRDI QIDQ125752FDOQ125752

Stephen G. Walker, Ryan Martin, Raymond Mess, Raymond Mess, Stephen G. Walker, Ryan Martin

Publication date: 1 August 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We propose a new empirical Bayes approach for inference in the $pggn$ normal linear model. The novelty is the use of data in the prior in two ways, for centering and regularization. Under suitable sparsity assumptions, we establish a variety of concentration rate results for the empirical Bayes posterior distribution, relevant for both estimation and model selection. Computation is straightforward and fast, and simulation results demonstrate the strong finite-sample performance of the empirical Bayes model selection procedure.

Full work available at URL: https://arxiv.org/abs/1406.7718

zbMATH Keywords

variable selectionregressionminimaxdata-dependent priorfractional likelihood

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Empirical decision procedures; empirical Bayes procedures (62C12)

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