Sandwich algorithms for Bayesian variable selection

DOI10.1016/J.CSDA.2014.07.014OpenAlexW2172242643MaRDI QIDQ1623728FDOQ1623728

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

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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)

Cites Work

• Elastic net regression modeling with the orthant normal prior
• The Calculation of Posterior Distributions by Data Augmentation
• Seeking efficient data augmentation schemes via conditional and marginal augmentation
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Model uncertainty
• Rao-Blackwellization for Bayesian variable selection and model averaging in linear and binary regression: a novel data augmentation approach
• Title not available (Why is that?)
• Shotgun Stochastic Search for “Largep” Regression
• On Bayesian model and variable selection using MCMC
• Parameter Expansion for Data Augmentation
• Geometric ergodicity and hybrid Markov chains
• Prediction Via Orthogonalized Model Mixing
• Ordering and improving the performance of Monte Carlo Markov chains.
• 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
• A spectral analytic comparison of trace-class data augmentation algorithms and their sandwich variants
• Markov chains and de-initializing processes
• Bayesian Wavelet Regression on Curves With Application to a Spectroscopic Calibration Problem
• Gibbs sampling, exponential families and orthogonal polynomials
• Norm comparisons for 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

Uses Software

• blasso
• SSS
• mcmcse
• ppls

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