Bayesian Lasso: concentration and MCMC diagnosis

DOI10.17654/0972086322005MaRDI QIDQ5040824zbMATH OpenFDO

Authors Daoud Ounaissi, Nadji Rahmania

Publication date 18 October 2022

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

zbMATH Keywords

Bayesgeometryincomplete gamma functionLASSOlog-concaveMCMC

Mathematics Subject Classification ID

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

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Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• A new Gibbs sampler for Bayesian lasso
• An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
• Atomic Decomposition by Basis Pursuit
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Geometry of log-concave functions and measures
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 3199826 (Why is no real title available?)
• scientific article; zbMATH DE number 3083637 (Why is no real title available?)
• Inequalities for the incomplete gamma function
• Least angle regression. (With discussion)
• Logarithmically concave functions and sections of convex sets in $R^{n}$
• Numerical and asymptotic aspects of parabolic cylinder functions
• Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator
• Proximal Markov chain Monte Carlo algorithms
• Rates of convergence of the Hastings and Metropolis algorithms
• Scalable approximate MCMC algorithms for the horseshoe prior
• The Lasso problem and uniqueness

Cited in

(5)

• Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator
• Bayesian hyper-Lassos with non-convex penalization
• L1 LASSO Modeling and Its Bayesian Inference
• Bayesian Lasso : Concentration and MCMC Diagnosis
• Multilevel Monte Carlo simulation of Bayesian Lasso

Describes a project that uses

Uses Software

• PDCO

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