Geometric ergodicity for Bayesian shrinkage models
DOI10.1214/14-EJS896zbMATH Open1297.62057MaRDI QIDQ2452109FDOQ2452109
Authors: Subhadip Pal, Kshitij Khare 
Publication date: 30 May 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1400592266
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Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Discrete-time Markov processes on general state spaces (60J05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)
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Cited In (14)
- Discussion
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants
- A new type of sharp bounds for ratios of modified Bessel functions
- Bayesian bridge regression
- Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors
- Bayesian Approaches to Shrinkage and Sparse Estimation
- Title not available (Why is that?)
- Trace class Markov chains for the normal-gamma Bayesian shrinkage model
- Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates
- Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects
- Prior-Preconditioned Conjugate Gradient Method for Accelerated Gibbs Sampling in “Large n , Large p ” Bayesian Sparse Regression
- Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
- A geometrical explanation of Stein shrinkage
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