In search of lost mixing time: adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large p

DOI10.1093/biomet/asaa055zbMath1462.62762arXiv1708.05678OpenAlexW3092343786MaRDI QIDQ5857977

Jim E. Griffin, K. G. Łatuszyński, Mark F. J. Steel

Publication date: 8 April 2021

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.05678

zbMATH Keywords

linear regressionvariable selectionoptimal scalingspike-and-slab priorlarge-\(p\)small-\(n\) problem

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Statistical aspects of big data and data science (62R07)

Related Items (4)

Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach ⋮ Additive Bayesian variable selection under censoring and misspecification ⋮ Variational Bayes for High-Dimensional Linear Regression With Sparse Priors ⋮ Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection

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