Bayesian Lasso: concentration and MCMC diagnosis

DOI10.17654/0972086322005MaRDI QIDQ5040824FDOQ5040824

Authors: Daoud Ounaissi, Nadji Rahmania 

Publication date: 18 October 2022

Full work available at URL: https://arxiv.org/abs/1802.08572

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zbMATH Keywords

incomplete gamma functiongeometryMCMCBayesLASSOlog-concave

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Numerical methods (including Monte Carlo methods) (91G60) Bayesian problems; characterization of Bayes procedures (62C10) Measures of information, entropy (94A17)

Cites Work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Least angle regression. (With discussion)
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• Atomic Decomposition by Basis Pursuit
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Rates of convergence of the Hastings and Metropolis algorithms
• The Lasso problem and uniqueness
• Scalable approximate MCMC algorithms for the horseshoe prior
• An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
• Inequalities for the incomplete gamma function
• Title not available (Why is that?)
• Title not available (Why is that?)
• Geometry of log-concave functions and measures
• Logarithmically concave functions and sections of convex sets in $R^{n}$
• Numerical and asymptotic aspects of parabolic cylinder functions
• Proximal Markov chain Monte Carlo algorithms
• Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• A new Gibbs sampler for Bayesian lasso

Cited In (3)

• L1 LASSO Modeling and Its Bayesian Inference
• Bayesian hyper-Lassos with non-convex penalization
• Bayesian Lasso : Concentration and MCMC Diagnosis

Uses Software

• PDCO

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