Empirical Bayes analysis of spike and slab posterior distributions

DOI10.1214/18-EJS1494zbMath1409.62026arXiv1801.01696OpenAlexW2963347443MaRDI QIDQ1711560

Ismaël Castillo, Romain Mismer

Publication date: 18 January 2019

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

Full work available at URL: https://arxiv.org/abs/1801.01696

zbMATH Keywords

empirical Bayesspike and slabconvergence rates of posterior distributionsspike and slab Lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Empirical decision procedures; empirical Bayes procedures (62C12) Foundations of stochastic processes (60G05)

Related Items (10)

Empirical Bayes cumulative \(\ell\)-value multiple testing procedure for sparse sequences ⋮ Bayesian linear regression for multivariate responses under group sparsity ⋮ Optimal convergence rates of Bayesian wavelet estimation with a novel empirical prior in nonparametric regression model ⋮ Fast exact Bayesian inference for sparse signals in the normal sequence model ⋮ Asymptotic frequentist coverage properties of Bayesian credible sets for sieve priors ⋮ On spike and slab empirical Bayes multiple testing ⋮ Spike and slab empirical Bayes sparse credible sets ⋮ Bayesian variance estimation in the Gaussian sequence model with partial information on the means ⋮ Minimax predictive density for sparse count data ⋮ Comment: ``Bayes, oracle Bayes and empirical Bayes

Uses Software

• EBayesThresh

Cites Work

• Unnamed Item
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• The Spike-and-Slab LASSO
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