Convergence properties of Gibbs samplers for Bayesian probit regression with proper priors

DOI10.1214/16-EJS1219zbMATH Open1366.60093arXiv1602.08558OpenAlexW2289554388MaRDI QIDQ510201FDOQ510201

Authors: Saptarshi Chakraborty, Kshitij Khare 

Publication date: 17 February 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: The Bayesian probit regression model (Albert and Chib (1993)) is popular and widely used for binary regression. While the improper flat prior for the regression coefficients is an appropriate choice in the absence of any prior information, a proper normal prior is desirable when prior information is available or in modern high dimensional settings where the number of coefficients ($p$) is greater than the sample size ($n$). For both choices of priors, the resulting posterior density is intractable and a Data Dugmentation (DA) Markov chain is used to generate approximate samples from the posterior distribution. Establishing geometric ergodicity for this DA Markov chain is important as it provides theoretical guarantees for constructing standard errors for Markov chain based estimates of posterior quantities. In this paper, we first show that in case of proper normal priors, the DA Markov chain is geometrically ergodic *for all* choices of the design matrix $X$, $n$ and $p$ (unlike the improper prior case, where $ngeqp$ and another condition on $X$ are required for posterior propriety itself). We also derive sufficient conditions under which the DA Markov chain is trace-class, i.e., the eigenvalues of the corresponding operator are summable. In particular, this allows us to conclude that the Haar PX-DA sandwich algorithm (obtained by inserting an inexpensive extra step in between the two steps of the DA algorithm) is strictly better than the DA algorithm in an appropriate sense.

Full work available at URL: https://arxiv.org/abs/1602.08558

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zbMATH Keywords

Markov chain Monte Carlodata augmentationbinary regressiontrace classgeometric ergodicityBayesian probit modelproper normal priorsandwich algorithms

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Discrete-time Markov processes on general state spaces (60J05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Cited In (14)

• Convergence analysis of the block Gibbs sampler for Bayesian probit linear mixed models with improper priors
• Geometric ergodicity of Pólya-Gamma Gibbs sampler for Bayesian logistic regression with a flat prior
• Block Gibbs samplers for logistic mixed models: convergence properties and a comparison with full Gibbs samplers
• Consistent estimation of the spectrum of trace class data augmentation algorithms
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Convergence properties of data augmentation algorithms for high-dimensional robit regression
• A new go-to sampler for Bayesian probit regression
• Wasserstein-based methods for convergence complexity analysis of MCMC with applications
• Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
• The Modified-Half-Normal distribution: Properties and an efficient sampling scheme
• Analysis of the Pólya-gamma block Gibbs sampler for Bayesian logistic linear mixed models
• Estimating the spectral gap of a trace-class Markov operator

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