High-dimensional posterior consistency for hierarchical non-local priors in regression
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Publication:2297241
Abstract: The choice of tuning parameters in Bayesian variable selection is a critical problem in modern statistics. In particular, for Bayesian linear regression with non-local priors, the scale parameter in the non-local prior density is an important tuning parameter which reflects the dispersion of the non-local prior density around zero, and implicitly determines the size of the regression coefficients that will be shrunk to zero. Current approaches treat the scale parameter as given, and suggest choices based on prior coverage/asymptotic considerations. In this paper, we consider the fully Bayesian approach introduced in (Wu, 2016) with the pMOM non-local prior and an appropriate Inverse-Gamma prior on the tuning parameter to analyze the underlying theoretical property. Under standard regularity assumptions, we establish strong model selection consistency in a high-dimensional setting, where is allowed to increase at a polynomial rate with n$or even at a sub-exponential rate with n. Through simulation studies, we demonstrate that our model selection procedure can outperform other Bayesian methods which treat the scale parameter as given, and commonly used penalized likelihood methods, in a range of simulation settings.
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Cited in
(13)- Strong selection consistency of Bayesian vector autoregressive models based on a pseudo-likelihood approach
- Hierarchical shrinkage priors for regression models
- Joint Bayesian Variable and DAG Selection Consistency for High-dimensional Regression Models with Network-structured Covariates
- On the non-local priors for sparsity selection in high-dimensional Gaussian DAG models
- Consistent Bayesian sparsity selection for high-dimensional Gaussian DAG models with multiplicative and beta-mixture priors
- Consistent skinny Gibbs in probit regression
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- Development of network-guided transcriptomic risk score for disease prediction
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