Geometric ergodicity of the Bayesian Lasso

DOI10.1214/13-EJS841zbMath1349.60124MaRDI QIDQ367204

James P. Hobert, Kshitij Khare

Publication date: 26 September 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1378817879

zbMATH Keywords

Markov chain; convergence rate; Bayesian lasso; geometric drift condition

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62J07: Ridge regression; shrinkage estimators (Lasso)

60F05: Central limit and other weak theorems

62F15: Bayesian inference