Sub-optimality of some continuous shrinkage priors
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Publication:335657
DOI10.1016/J.SPA.2016.08.007zbMATH Open1419.62050OpenAlexW2963623196MaRDI QIDQ335657FDOQ335657
Abstract: Two-component mixture priors provide a traditional way to induce sparsity in high-dimensional Bayes models. However, several aspects of such a prior, including computational complexities in high-dimensions, interpretation of exact zeros and non-sparse posterior summaries under standard loss functions, has motivated an amazing variety of continuous shrinkage priors, which can be expressed as global-local scale mixtures of Gaussians. Interestingly, we demonstrate that many commonly used shrinkage priors, including the Bayesian Lasso, do not have adequate posterior concentration in high-dimensional settings.
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- Posterior consistency in linear models under shrinkage priors
- Conditions for posterior contraction in the sparse normal means problem
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Cited In (11)
- Needles and straw in a haystack: robust confidence for possibly sparse sequences
- Dirichlet-Laplace priors for optimal shrinkage
- Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization
- A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors
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- Functional Horseshoe Priors for Subspace Shrinkage
- Geometric ergodicity of the Bayesian Lasso
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