Sub-optimality of some continuous shrinkage priors

DOI10.1016/j.spa.2016.08.007zbMath1419.62050arXiv1605.05671OpenAlexW2963623196MaRDI QIDQ335657

David B. Dunson, Natesh S. Pillai, Debdeep Pati, Anirban Bhattacharya

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.05671

zbMATH Keywords

regularizationconvergence ratelower boundBayesianpenalized regressionLassohigh dimensional\(\ell_1\)shrinkage priorsub-optimal

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items

Compound Poisson processes, latent shrinkage priors and Bayesian nonconvex penalization, Geometric ergodicity of the Bayesian Lasso, A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors, Needles and straw in a haystack: robust confidence for possibly sparse sequences, Rate-optimal posterior contraction for sparse PCA

Uses Software

• blasso
• EBayesThresh

Cites Work

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