Convergence properties of data augmentation algorithms for high-dimensional robit regression

DOI10.1214/22-EJS2098MaRDI QIDQ2683183

Kshitij Khare, Saptarshi Chakraborty, Sourav Mukherjee

Publication date: 3 February 2023

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

Full work available at URL: https://arxiv.org/abs/2112.10349

zbMATH Keywords

Markov chain Monte Carlotrace classgeometric ergodicityhigh-dimensional binary regressionrobust model

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites Work

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• Consistent estimation of the spectrum of trace class data augmentation algorithms
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Convergence Rates and Asymptotic Standard Errors for Markov Chain Monte Carlo Algorithms for Bayesian Probit Regression
• Bayesian Analysis of Binary and Polychotomous Response Data

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