Generalized double Pareto shrinkage

DOI10.5705/SS.2011.048zbMATH Open1259.62061arXiv1104.0861OpenAlexW2117988331MaRDI QIDQ4908784FDOQ4908784

Authors: Artin Armagan, Jaeyong Lee, David Dunson 

Publication date: 7 March 2013

Published in: STATISTICA SINICA (Search for Journal in Brave)

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.

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

Recommendations

• Dirichlet-Laplace priors for optimal shrinkage
• Trace class Markov chains for Bayesian inference with generalized double Pareto shrinkage priors
• Sparse Bayesian linear regression using generalized normal priors
• Sparsity information and regularization in the horseshoe and other shrinkage priors
• The Bayesian Lasso

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)

Cited In (86)

• Neuronized Priors for Bayesian Sparse Linear Regression
• Objective Bayesian analysis for the Lomax distribution
• Multiple comparisons in genetic association studies: a hierarchical modeling approach
• Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors
• Joint Bayesian estimation of voxel activation and inter-regional connectivity in fMRI experiments
• Radio-iBAG: radiomics-based integrative Bayesian analysis of multiplatform genomic data
• The horseshoe estimator: posterior concentration around nearly black vectors
• Shrinkage priors for Bayesian penalized regression
• Mean field variational Bayes for continuous sparse signal shrinkage: pitfalls and remedies
• Sparse bayesian kernel multinomial probit regression model for high-dimensional data classification
• Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors
• Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization
• Scaling it up: stochastic search structure learning in graphical models
• A Bayesian parametrized method for interval-valued regression models
• Sub-optimality of some continuous shrinkage priors
• Shrinkage, pretest, and penalty estimators in generalized linear models
• Nearly optimal Bayesian shrinkage for high-dimensional regression
• Incorporating grouping information into Bayesian Gaussian graphical model selection
• Title not available (Why is that?)
• Spatial Shrinkage Via the Product Independent Gaussian Process Prior
• On Bayesian lasso variable selection and the specification of the shrinkage parameter
• Contraction properties of shrinkage priors in logistic regression
• Bayesian high-dimensional semi-parametric inference beyond sub-Gaussian errors
• Locally adaptive smoothing with Markov random fields and shrinkage priors
• Bayesian factor-adjusted sparse regression
• Bayesian hierarchical modeling: application towards production results in the Eagle Ford Shale of South Texas
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• Targeted Random Projection for Prediction From High-Dimensional Features
• Comparison and contrast of two general functional regression modelling frameworks
• Default priors for the intercept parameter in logistic regressions
• STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS
• Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation
• Bayesian rank penalization
• The horseshoe-like regularization for feature subset selection
• Sparse linear mixed model selection via streamlined variational Bayes
• Hierarchical Bayes, maximum a posteriori estimators, and minimax concave penalized likelihood estimation
• Sparse Bayesian multinomial probit regression model with correlation prior for high-dimensional data classification
• Modeling Random Effects Using Global–Local Shrinkage Priors in Small Area Estimation
• Lasso meets horseshoe: a survey
• Spatially Dependent Multiple Testing Under Model Misspecification, With Application to Detection of Anthropogenic Influence on Extreme Climate Events
• Bayesian variable selection for mixed effects model with shrinkage prior
• Bayesian inference in nonparanormal graphical models
• Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors
• Shrinkage estimation of fixed and random effects in linear quantile mixed models
• Trace Class Markov Chains for Bayesian Inference with Generalized Double Pareto Shrinkage Priors
• Bayesian Conditional Density Filtering
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Functional Horseshoe Priors for Subspace Shrinkage
• Maximum likelihood estimation of asymmetric double type II Pareto distributions
• A Bayesian hierarchical model for identifying significant polygenic effects while controlling for confounding and repeated measures
• A double generalized Pareto distribution
• Sparse Bayesian variable selection in kernel probit model for analyzing high-dimensional data
• A weakly informative prior for Bayesian dynamic model selection with applications in fMRI
• Title not available (Why is that?)
• Title not available (Why is that?)
• The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
• Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors
• The generalized double Lomax distribution with applications
• High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models
• High-dimensional multivariate posterior consistency under global-local shrinkage priors
• The linearized alternating direction method of multipliers for low-rank and fused LASSO matrix regression model
• Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
• Incorporating grouping information in Bayesian variable selection with applications in genomics
• General dominance properties of double shrinkage estimators for ratio of positive parameters
• Data-driven priors and their posterior concentration rates
• Prediction risk for the horseshoe regression
• Estimation of \(l_0\) norm penalized models: a statistical treatment
• Scalable Bayesian Regression in High Dimensions With Multiple Data Sources
• A non-convex regularization approach for stable estimation of loss development factors
• Bayesian reciprocal LASSO quantile regression
• Discussions
• Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior
• Bayesian variable selection with sparse and correlation priors for high-dimensional data analysis
• Large-scale multiple hypothesis testing with the normal-beta prime prior
• Spatial Signal Detection Using Continuous Shrinkage Priors
• The reciprocal Bayesian Lasso
• Bayesian Dynamic Feature Partitioning in High-Dimensional Regression With Big Data
• The adaptive normal-hypergeometric-inverted-beta priors for sparse signals
• High-dimensional Bayesian network classification with network global-local shrinkage priors
• Hierarchical shrinkage Gaussian processes: applications to computer code emulation and dynamical system recovery
• Shrinkage priors via random imaginary data
• Convergence rate of Bayesian supervised tensor modeling with multiway shrinkage priors
• A Bayesian graphical approach for large-scale portfolio management with fewer historical data
• Bayesian tensor response regression with an application to brain activation studies
• Bayesian estimation of large precision matrix based on Cholesky decomposition
• Data augmentation for Bayesian deep learning

This page was built for publication: Generalized double Pareto shrinkage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4908784)