MCMC convergence diagnosis using geometry of Bayesian LASSO
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Publication:6268043
arXiv1512.01366MaRDI QIDQ6268043FDOQ6268043
Authors: Azzouz Dermoune, Daoud Ounaissi, Nadji Rahmania 
Publication date: 4 December 2015
Abstract: Using posterior distribution of Bayesian LASSO we construct a semi-norm on the parameter space. We show that the partition function depends on the ratio of the l1 and l2 norms and present three regimes. We derive the concentration of Bayesian LASSO, and present MCMC convergence diagnosis.
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