Necessary and sufficient conditions for high-dimensional posterior consistency under g-priors

DOI10.1214/14-BA893zbMATH Open1335.62066arXiv1509.01060OpenAlexW2007180022MaRDI QIDQ273624FDOQ273624

Authors: Douglas K. Sparks, Kshitij Khare, Malay Ghosh 

Publication date: 22 April 2016

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

Abstract: We examine necessary and sufficient conditions for posterior consistency under $g$-priors, including extensions to hierarchical and empirical Bayesian models. The key features of this article are that we allow the number of regressors to grow at the same rate as the sample size and define posterior consistency under the sup vector norm instead of the more conventional Euclidean norm. We consider in particular the empirical Bayesian model of George and Foster (2000), the hyper-$g$-prior of Liang et al. (2008), and the prior considered by Zellner and Siow (1980).

Full work available at URL: https://arxiv.org/abs/1509.01060

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zbMATH Keywords

\(g\)-priorempirical Bayeshyper-\(g\)-priorposterior consistency

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cited In (7)

• The Bayesian analysis of complex, high-dimensional models: can it be CODA?
• High-dimensional posterior consistency in Bayesian vector autoregressive models
• On the beta prime prior for scale parameters in high-dimensional Bayesian regression models
• Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
• Sufficientness postulates for Gibbs-type priors and hierarchical generalizations
• A note on consistency of Bayesian high-dimensional variable selection under a default prior
• High-dimensional posterior consistency of the Bayesian Lasso

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