Scalable approximate MCMC algorithms for the horseshoe prior

zbMATH Open1499.62244MaRDI QIDQ4969130FDOQ4969130

Authors: James E. Johndrow, Paulo Orenstein, Anirban Bhattacharya 

Publication date: 5 October 2020

Full work available at URL: https://jmlr.csail.mit.edu/papers/v21/19-536.html

Recommendations

• Sparsity information and regularization in the horseshoe and other shrinkage priors
• Scalable Importance Tempering and Bayesian Variable Selection
• Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects
• On the computational complexity of high-dimensional Bayesian variable selection
• In search of lost mixing time: adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large p

zbMATH Keywords

Bayesian analysishigh-dimensional modelsperturbation theoryshrinkage priorMCMC approximation

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Least angle regression. (With discussion)
• Title not available (Why is that?)
• The horseshoe estimator for sparse signals
• The Bayesian Lasso
• Title not available (Why is that?)
• Dirichlet-Laplace priors for optimal shrinkage
• Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
• Bayesian model selection in high-dimensional settings
• Markov chains and stochastic stability
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Title not available (Why is that?)
• The horseshoe estimator: posterior concentration around nearly black vectors
• Perturbation theory for Markov chains via Wasserstein distance
• Sensitivity and convergence of uniformly ergodic Markov chains
• Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
• Geometric ergodicity for Bayesian shrinkage models
• Title not available (Why is that?)
• Convergence Properties of Perturbed Markov Chains
• Geometric ergodicity of the Bayesian Lasso
• The Bayesian Bridge
• Uncertainty quantification for the horseshoe (with discussion)
• Adaptive posterior contraction rates for the horseshoe

Cited In (27)

• Bayesian frequentist bounds for machine learning and system identification
• Sparse estimation in linear dynamic networks using the stable spline horseshoe prior
• A horseshoe mixture model for Bayesian screening with an application to light sheet fluorescence microscopy in brain imaging
• A hybrid deterministic-deterministic approach for high-dimensional Bayesian variable selection with a default prior
• Bayesian fused lasso modeling via horseshoe prior
• Bayesian Lasso: concentration and MCMC diagnosis
• Bayesian sparse convex clustering via global-local shrinkage priors
• Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants
• Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior
• Discussion
• Rejoinder: ``Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• Consistent skinny Gibbs in probit regression
• The reciprocal Bayesian Lasso
• On the beta prime prior for scale parameters in high-dimensional Bayesian regression models
• Hierarchical shrinkage Gaussian processes: applications to computer code emulation and dynamical system recovery
• Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
• Horseshoe Priors for Edge-Preserving Linear Bayesian Inversion
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Bounding Wasserstein Distance with Couplings
• The spike-and-slab quantile Lasso for robust variable selection in cancer genomics studies
• Bayesian Bootstrap Spike-and-Slab LASSO
• Trace class Markov chains for the normal-gamma Bayesian shrinkage model
• Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates
• Prior-Preconditioned Conjugate Gradient Method for Accelerated Gibbs Sampling in “Large n , Large p ” Bayesian Sparse Regression
• Time-dependent shrinkage of time-varying parameter regression models
• Development of network-guided transcriptomic risk score for disease prediction
• Introduction to ``Scalable inference for Markov processes with intractable likelihoods by J. Owen, D. Wilkinson, C. Gillespie

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