Spike and slab empirical Bayes sparse credible sets

DOI10.3150/19-BEJ1119zbMATH Open1441.62077arXiv1808.07721OpenAlexW2990592529MaRDI QIDQ2278657FDOQ2278657

Authors: Ismaël Castillo, Botond Szabó 

Publication date: 5 December 2019

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In the sparse normal means model, coverage of adaptive Bayesian posterior credible sets associated to spike and slab prior distributions is considered. The key sparsity hyperparameter is calibrated via marginal maximum likelihood empirical Bayes. First, adaptive posterior contraction rates are derived with respect to $d_q$--type--distances for $qleq2$. Next, under a type of so-called excessive-bias conditions, credible sets are constructed that have coverage of the true parameter at prescribed $1-alpha$ confidence level and at the same time are of optimal diameter. We also prove that the previous conditions cannot be significantly weakened from the minimax perspective.

Full work available at URL: https://arxiv.org/abs/1808.07721

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zbMATH Keywords

empirical Bayescredible setsconvergence rates of posterior distributionsspike and slab prior distributions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Parametric tolerance and confidence regions (62F25)

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Cited In (19)

• Needles and straw in a haystack: robust confidence for possibly sparse sequences
• Spike and slab empirical Bayes sparse credible sets
• On spike and slab empirical Bayes multiple testing
• Title not available (Why is that?)
• Empirical Bayes oracle uncertainty quantification for regression
• Variational Bayes for High-Dimensional Linear Regression With Sparse Priors
• Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors
• On frequentist coverage errors of Bayesian credible sets in moderately high dimensions
• Uncertainty quantification for the horseshoe (with discussion)
• Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences
• On coverage and local radial rates of credible sets
• Sharp multiple testing boundary for sparse sequences
• Coverage of credible intervals in nonparametric monotone regression
• Minimax predictive density for sparse count data
• Empirical priors and coverage of posterior credible sets in a sparse normal mean model
• Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression
• Spike and slab Bayesian sparse principal component analysis
• Empirical Bayes analysis of spike and slab posterior distributions
• Fast exact Bayesian inference for sparse signals in the normal sequence model

Uses Software

• EBayesThresh

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