Inference with normal-gamma prior distributions in regression problems

DOI10.1214/10-BA507zbMath1330.62128MaRDI QIDQ2635197

Publication date: 11 February 2016

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

Full work available at URL: https://projecteuclid.org/euclid.ba/1340369797

zbMATH Keywords

Markov chain Monte Carlo; shrinkage; posterior moments; scale mixture of normals; multiple regression; Bayesian Lasso; \(p>n\); normal-gamma prior; ``spike-and-slab prior

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62J07: Ridge regression; shrinkage estimators (Lasso)

62F15: Bayesian inference

65C05: Monte Carlo methods

Related Items

Predicting crypto‐currencies using sparse non‐Gaussian state space models, Bayesian Semiparametric Multivariate Density Deconvolution, Unnamed Item, Robust Classification of Functional and Quantitative Image Data Using Functional Mixed Models, Bayesian variable selection for logistic regression, The adaptive normal-hypergeometric-inverted-beta priors for sparse signals, A weakly informative prior for Bayesian dynamic model selection with applications in fMRI, Bayesian quantile regression for ordinal longitudinal data, Bayesian variable selection in quantile regression with random effects: an application to Municipal Human Development Index, Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors, Spatial Shrinkage Via the Product Independent Gaussian Process Prior, Fiducial inference for gamma distributions: two-sample problems, The Bayesian elastic net regression, Bayesian Approaches to Shrinkage and Sparse Estimation, Model selection in quantile regression models, Inference with three-level prior distributions in quantile regression problems, Comparison and contrast of two general functional regression modelling frameworks, Effect fusion using model-based clustering, Functional Horseshoe Priors for Subspace Shrinkage, An efficient Monte Carlo EM algorithm for Bayesian lasso, Bayesian Semiparametric Functional Mixed Models for Serially Correlated Functional Data, With Application to Glaucoma Data, High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models, Sparse Bayesian linear regression using generalized normal priors, Estimation of stationary autoregressive models with the Bayesian LASSO, Prediction risk for the horseshoe regression, Comparing Distributions by using Dependent Normalized Random-Measure Mixtures, Adaptive Bayesian prediction of reliability based on degradation process, A discussion of ‘prior-based Bayesian information criterion (PBIC)’, Bayesian Edge Regression in Undirected Graphical Models to Characterize Interpatient Heterogeneity in Cancer, Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior, Bayesian quantile regression for longitudinal count data, Model-based clustering based on sparse finite Gaussian mixtures, Achieving shrinkage in a time-varying parameter model framework, Sparse Bayesian time-varying covariance estimation in many dimensions, Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization, Scaling it up: stochastic search structure learning in graphical models, Conditions for posterior contraction in the sparse normal means problem, Sub-optimality of some continuous shrinkage priors, Geometric ergodicity of the Bayesian Lasso, Bayesian model selection for logistic regression models with random intercept, The horseshoe estimator: posterior concentration around nearly black vectors, A majorization-minimization approach to variable selection using spike and slab priors, On Bayesian lasso variable selection and the specification of the shrinkage parameter, Bayesian linear regression with sparse priors, Bayesian quantile regression for single-index models, Prior distributions for objective Bayesian analysis, Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors, Debt regimes and the effectiveness of monetary policy, Lasso, fractional norm and structured sparse estimation using a Hadamard product parametrization, Variable selection using shrinkage priors, Trace class Markov chains for the normal-gamma Bayesian shrinkage model, Bayesian effect fusion for categorical predictors, Gaussian-Gamma collaborative filtering: a hierarchical Bayesian model for recommender systems, Locally adaptive smoothing with Markov random fields and shrinkage priors, Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects, Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation, A flexible mixed-frequency vector autoregression with a steady-state prior, Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors, A hybrid scan Gibbs sampler for Bayesian models with latent variables, The illusion of the illusion of sparsity: an exercise in prior sensitivity, Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection, Shared Bayesian variable shrinkage in multinomial logistic regression, Sparse linear mixed model selection via streamlined variational Bayes, On the use of sparse Bayesian learning-based polynomial chaos expansion for global reliability sensitivity analysis, Fast Bayesian inference on spectral analysis of multivariate stationary time series, Bayesian sparse convex clustering via global-local shrinkage priors, Bayesian graphical models for modern biological applications, Parsimony inducing priors for large scale state-space models, Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation, Horseshoe shrinkage methods for Bayesian fusion estimation, Bayesian rank penalization, Relevant parameter changes in structural break models, Global sensitivity analysis: a Bayesian learning based polynomial chaos approach, The horseshoe prior for time-varying parameter VARs and monetary policy, The heterogeneous impact of monetary policy on the US labor market, Radio-iBAG: radiomics-based integrative Bayesian analysis of multiplatform genomic data, Lasso meets horseshoe: a survey, Contraction properties of shrinkage priors in logistic regression, Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership, Bayesian discriminant analysis using a high dimensional predictor, Adaptive hierarchical priors for high-dimensional vector autoregressions, Comment: ``Bayes, oracle Bayes and empirical Bayes, A characterization of Bayesian robustness for a normal location parameter, Geometric ergodicity for Bayesian shrinkage models, Time-varying sparsity in dynamic regression models, Stochastic model specification in Markov switching vector error correction models, Modeling time-varying parameters using artificial neural networks: a GARCH illustration, Bayesian Approaches for Large Biological Networks, BAYESIAN HYPER-LASSOS WITH NON-CONVEX PENALIZATION, Variable Selection in Linear Mixed Models Using an Extended Class of Penalties, Nonidentical twins: Comparison of frequentist and Bayesian lasso for Cox models, Bayesian Elastic Net Tobit Quantile Regression, High-dimensional posterior consistency of the Bayesian lasso, Bayesian Conditional Mean Estimation in Log‐Normal Linear Regression Models with Finite Quadratic Expected Loss, Inferring network structure in non-normal and mixed discrete-continuous genomic data, Modeling Random Effects Using Global–Local Shrinkage Priors in Small Area Estimation, Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors, Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods, Scalable Bayesian Regression in High Dimensions With Multiple Data Sources, Testing Sparsity-Inducing Penalties, Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹, Bayesian variable selection for the Cox regression model with spatially varying coefficients with applications to Louisiana respiratory cancer data, APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs, A Bayesian Singular Value Decomposition Procedure for Missing Data Imputation, A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies, A comparative study on high-dimensional bayesian regression with binary predictors