High-dimensional posterior consistency for hierarchical non-local priors in regression

DOI10.1214/19-BA1154zbMath1437.62253arXiv1709.06607OpenAlexW2962789209WikidataQ128017132 ScholiaQ128017132MaRDI QIDQ2297241

Xuan Cao, Kshitij Khare, Malay Ghosh

Publication date: 18 February 2020

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.06607

zbMATH Keywords

model selectionhigh-dimensional datamultivariate regressionposterior consistencynon-local prior

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (5)

On the non-local priors for sparsity selection in high-dimensional Gaussian DAG models ⋮ Strong selection consistency of Bayesian vector autoregressive models based on a pseudo-likelihood approach ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Consistent Bayesian sparsity selection for high-dimensional Gaussian DAG models with multiplicative and beta-mixture priors ⋮ Joint Bayesian Variable and DAG Selection Consistency for High-dimensional Regression Models with Network-structured Covariates

Uses Software

• glmnet

Cites Work

• Bayesian variable selection with shrinking and diffusing priors
• Bayesian linear regression with sparse priors
• Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models
• Spike and slab variable selection: frequentist and Bayesian strategies
• Mixtures of g Priors for Bayesian Variable Selection
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• On the use of Non-Local Prior Densities in Bayesian Hypothesis Tests
• Scalable Bayesian Variable Selection Using Nonlocal Prior Densities in Ultrahigh-dimensional Settings
• Bayesian Model Selection in High-Dimensional Settings
• High-Dimensional Variable Selection With Reciprocal L₁-Regularization
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
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