Bayesian linear regression with sparse priors
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Abstract: We study full Bayesian procedures for high-dimensional linear regression under sparsity constraints. The prior is a mixture of point masses at zero and continuous distributions. Under compatibility conditions on the design matrix, the posterior distribution is shown to contract at the optimal rate for recovery of the unknown sparse vector, and to give optimal prediction of the response vector. It is also shown to select the correct sparse model, or at least the coefficients that are significantly different from zero. The asymptotic shape of the posterior distribution is characterized and employed to the construction and study of credible sets for uncertainty quantification.
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- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
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Cited in
(only showing first 100 items - show all)- DOLDA: a regularized supervised topic model for high-dimensional multi-class regression
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