Posterior consistency in linear models under shrinkage priors
Publication
, Journal Article
Armagan, A; Dunson, DB; Lee, J; Bajwa, WU; Strawn, N
Published in: Biometrika
December 1, 2013
We investigate the asymptotic behaviour of posterior distributions of regression coefficients in high-dimensional linear models as the number of dimensions grows with the number of observations. We show that the posterior distribution concentrates in neighbourhoods of the true parameter under simple sufficient conditions. These conditions hold under popular shrinkage priors given some sparsity assumptions. © 2013 Biometrika Trust.
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Published In
Biometrika
DOI
EISSN
1464-3510
ISSN
0006-3444
Publication Date
December 1, 2013
Volume
100
Issue
4
Start / End Page
1011 / 1018
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0103 Numerical and Computational Mathematics
Citation
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Chicago
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MLA
NLM
Armagan, A., Dunson, D. B., Lee, J., Bajwa, W. U., & Strawn, N. (2013). Posterior consistency in linear models under shrinkage priors. Biometrika, 100(4), 1011–1018. https://doi.org/10.1093/biomet/ast028
Armagan, A., D. B. Dunson, J. Lee, W. U. Bajwa, and N. Strawn. “Posterior consistency in linear models under shrinkage priors.” Biometrika 100, no. 4 (December 1, 2013): 1011–18. https://doi.org/10.1093/biomet/ast028.
Armagan A, Dunson DB, Lee J, Bajwa WU, Strawn N. Posterior consistency in linear models under shrinkage priors. Biometrika. 2013 Dec 1;100(4):1011–8.
Armagan, A., et al. “Posterior consistency in linear models under shrinkage priors.” Biometrika, vol. 100, no. 4, Dec. 2013, pp. 1011–18. Scopus, doi:10.1093/biomet/ast028.
Armagan A, Dunson DB, Lee J, Bajwa WU, Strawn N. Posterior consistency in linear models under shrinkage priors. Biometrika. 2013 Dec 1;100(4):1011–1018.
Published In
Biometrika
DOI
EISSN
1464-3510
ISSN
0006-3444
Publication Date
December 1, 2013
Volume
100
Issue
4
Start / End Page
1011 / 1018
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0103 Numerical and Computational Mathematics