Geometric ergodicity of the Bayesian Lasso

DOI10.1214/13-EJS841MaRDI QIDQ367204zbMATH OpenOpenAlexFDO

Authors Kshitij Khare, James P. Hobert

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 chainconvergence rateBayesian lassogeometric drift condition

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A new proof of convergence of MCMC via the ergodic theorem
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• General state space Markov chains and MCMC algorithms
• Inference with normal-gamma prior distributions in regression problems
• Markov chain Monte Carlo: can we trust the third significant figure?
• Markov chains and stochastic stability
• Markov-chain monte carlo: Some practical implications of theoretical results
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Penalized regression, standard errors, and Bayesian Lassos
• Sub-optimality of some continuous shrinkage priors
• The Bayesian Lasso
• The horseshoe estimator for sparse signals

Cited in

(20)

• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
• Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
• Geometric ergodicity of Pólya-Gamma Gibbs sampler for Bayesian logistic regression with a flat prior
• Scalable approximate MCMC algorithms for the horseshoe prior
• Bayesian Lasso: concentration and MCMC diagnosis
• Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants
• Convergence rates of two-component MCMC samplers
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Analyzing Markov chain Monte Carlo output
• Approximate Gibbs sampler for Bayesian Huberized lasso
• Bayesian bridge regression
• Asynchronous and Distributed Data Augmentation for Massive Data Settings
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Geometric ergodicity of Gibbs samplers in Bayesian penalized regression models
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Complexity results for MCMC derived from quantitative bounds
• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
• Geometric ergodicity for Bayesian shrinkage models
• Assessing and Visualizing Simultaneous Simulation Error
• Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods

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