Necessary and sufficient conditions for high-dimensional posterior consistency under g-priors
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Necessary and sufficient conditions for high-dimensional posterior consistency under \(g\)-priors
Necessary and sufficient conditions for high-dimensional posterior consistency under \(g\)-priors
Abstract: We examine necessary and sufficient conditions for posterior consistency under -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--prior of Liang et al. (2008), and the prior considered by Zellner and Siow (1980).
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Cited in
(7)- High-dimensional posterior consistency of the Bayesian Lasso
- On the beta prime prior for scale parameters in high-dimensional Bayesian regression models
- High-dimensional posterior consistency in Bayesian vector autoregressive models
- The Bayesian analysis of complex, high-dimensional models: can it be CODA?
- A note on consistency of Bayesian high-dimensional variable selection under a default prior
- Sufficientness postulates for Gibbs-type priors and hierarchical generalizations
- Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
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