Spike and slab empirical Bayes sparse credible sets

DOI10.3150/19-BEJ1119MaRDI QIDQ2278657zbMATH OpenOpenAlexFDO

Authors Ismaël Castillo, Botond Szabó

Publication date 5 December 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.07721, https://projecteuclid.org/euclid.bj/1574758824

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)

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.

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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
• scientific article; zbMATH DE number 6378011 (Why is no real title available?)
• 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
• Uncertainty quantification for the horseshoe (with discussion)
• On frequentist coverage errors of Bayesian credible sets in moderately high dimensions
• 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
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• Statistical inference via conditional Bayesian posteriors in high-dimensional linear regression
• Empirical Bayes analysis of spike and slab posterior distributions
• Spike and slab Bayesian sparse principal component analysis
• Fast exact Bayesian inference for sparse signals in the normal sequence model

Describes a project that uses

Uses Software

• EBayesThresh

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