Geometric ergodicity of the Bayesian Lasso

DOI10.1214/13-EJS841zbMATH Open1349.60124OpenAlexW2104863866MaRDI QIDQ367204FDOQ367204

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

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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)

Cites Work

• Title not available (Why is that?)
• Inference with normal-gamma prior distributions in regression problems
• The horseshoe estimator for sparse signals
• The Bayesian Lasso
• Markov chain Monte Carlo: can we trust the third significant figure?
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
• Markov chains and stochastic stability
• General state space Markov chains and MCMC algorithms
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Penalized regression, standard errors, and Bayesian Lassos
• Sub-optimality of some continuous shrinkage priors
• A new proof of convergence of MCMC via the ergodic theorem
• Markov-chain monte carlo: Some practical implications of theoretical results

Cited In (18)

• Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
• Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
• 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
• Asynchronous and Distributed Data Augmentation for Massive Data Settings
• Bayesian bridge regression
• 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
• Title not available (Why is that?)
• 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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