Generalized double Pareto shrinkage

DOI10.5705/SS.2011.048MaRDI QIDQ4908784zbMATHOpenAlexFDO

Authors Artin Armagan, Jaeyong Lee, David Dunson

Publication date 7 March 2013

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.0861

zbMATH Keywords

heavy tailshigh-dimensional datarelevance vector machineLASSOshrinkage estimationmaximum a posteriori estimationrobust prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Ridge regression; shrinkage estimators (Lasso) (62J07)

Abstract: We propose a generalized double Pareto prior for Bayesian shrinkage estimation and inferences in linear models. The prior can be obtained via a scale mixture of Laplace or normal distributions, forming a bridge between the Laplace and Normal-Jeffreys' priors. While it has a spike at zero like the Laplace density, it also has a Student's $t$-like tail behavior. Bayesian computation is straightforward via a simple Gibbs sampling algorithm. We investigate the properties of the maximum a posteriori estimator, as sparse estimation plays an important role in many problems, reveal connections with some well-established regularization procedures, and show some asymptotic results. The performance of the prior is tested through simulations and an application.

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