Bayesian linear regression for multivariate responses under group sparsity

DOI10.3150/20-BEJ1198zbMath1437.62262arXiv1807.03439OpenAlexW3018141825MaRDI QIDQ2175004

Bo Ning, Seonghyun Jeong, Subhashis Ghosal

Publication date: 27 April 2020

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.03439

zbMATH Keywords

covariance matrixposterior contraction rategroup sparsityBayesian variable selectionRényi divergencemultivariate linear regressionspike-and-slab prior

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Bayesian inference (62F15) Statistical ranking and selection procedures (62F07)

Related Items (11)

Posterior contraction in group sparse logit models for categorical responses ⋮ Bayesian linear regression for multivariate responses under group sparsity ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior ⋮ Spike-and-Slab Group Lassos for Grouped Regression and Sparse Generalized Additive Models ⋮ Empirical priors and coverage of posterior credible sets in a sparse normal mean model ⋮ Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error ⋮ Bayesian MIDAS penalized regressions: estimation, selection, and prediction ⋮ Time-varying auto-regressive models for count time-series ⋮ Unified Bayesian theory of sparse linear regression with nuisance parameters

Uses Software

• bgsmtr

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