Sandwich algorithms for Bayesian variable selection

DOI10.1016/J.CSDA.2014.07.014MaRDI QIDQ1623728zbMATH OpenOpenAlexFDO

Authors Joyee Ghosh, Aixin Tan

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2014.07.014

zbMATH Keywords

Markov chain Monte Carlodata augmentationmulticollinearityasymptotic varianceRao-Blackwellization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15)

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Cites work

• scientific article; zbMATH DE number 1034042 (Why is no real title available?)
• A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
• A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• Bayesian Wavelet Regression on Curves With Application to a Spectroscopic Calibration Problem
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Elastic net regression modeling with the orthant normal prior
• Geometric ergodicity and hybrid Markov chains
• Gibbs sampling, exponential families and orthogonal polynomials
• Markov chains and de-initializing processes
• Model uncertainty
• Norm comparisons for data augmentation
• On Bayesian model and variable selection using MCMC
• Ordering and improving the performance of Monte Carlo Markov chains.
• Parameter Expansion for Data Augmentation
• Prediction Via Orthogonalized Model Mixing
• Rao-Blackwellization for Bayesian variable selection and model averaging in linear and binary regression: a novel data augmentation approach
• Seeking efficient data augmentation schemes via conditional and marginal augmentation
• Shotgun Stochastic Search for “Largep” Regression
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(2)

• Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors
• Bayesian model selection using the median probability model

Describes a project that uses

Uses Software

• ppls
• mcmcse
• SSS
• blasso

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