Geometric ergodicity for Bayesian shrinkage models

DOI10.1214/14-EJS896zbMath1297.62057MaRDI QIDQ2452109

Subhadip Pal, Kshitij Khare

Publication date: 30 May 2014

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1400592266

zbMATH Keywords

Markov chain Monte CarloBessel functionsgeometric ergodicityBayesian shrinkage

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items (13)

Bayesian bridge regression ⋮ Geometric ergodicity of Gibbs samplers for the horseshoe and its regularized variants ⋮ A new type of sharp bounds for ratios of modified Bessel functions ⋮ Unnamed Item ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Shrinkage with shrunken shoulders: Gibbs sampling shrinkage model posteriors with guaranteed convergence rates ⋮ Prior-Preconditioned Conjugate Gradient Method for Accelerated Gibbs Sampling in “Large n , Large p ” Bayesian Sparse Regression ⋮ Trace class Markov chains for the normal-gamma Bayesian shrinkage model ⋮ Discussion ⋮ Spectral properties of MCMC algorithms for Bayesian linear regression with generalized hyperbolic errors ⋮ Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects ⋮ Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy

Uses Software

• EBayesThresh

Cites Work

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