Sub-optimality of some continuous shrinkage priors
Publication
, Journal Article
Bhattacharya, A; Dunson, DB; Pati, D; Pillai, NS
Published in: Stochastic Processes and their Applications
December 1, 2016
Two-component mixture priors provide a traditional way to induce sparsity in high-dimensional Bayes models. However, several aspects of such a prior, including computational complexities in high-dimensions, interpretation of exact zeros and non-sparse posterior summaries under standard loss functions, have motivated an amazing variety of continuous shrinkage priors, which can be expressed as global–local scale mixtures of Gaussians. Interestingly, we demonstrate that many commonly used shrinkage priors, including the Bayesian Lasso, do not have adequate posterior concentration in high-dimensional settings.
Duke Scholars
Published In
Stochastic Processes and their Applications
DOI
ISSN
0304-4149
Publication Date
December 1, 2016
Volume
126
Issue
12
Start / End Page
3828 / 3842
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 4901 Applied mathematics
- 1502 Banking, Finance and Investment
- 0104 Statistics
- 0102 Applied Mathematics
Citation
APA
Chicago
ICMJE
MLA
NLM
Bhattacharya, A., Dunson, D. B., Pati, D., & Pillai, N. S. (2016). Sub-optimality of some continuous shrinkage priors. Stochastic Processes and Their Applications, 126(12), 3828–3842. https://doi.org/10.1016/j.spa.2016.08.007
Bhattacharya, A., D. B. Dunson, D. Pati, and N. S. Pillai. “Sub-optimality of some continuous shrinkage priors.” Stochastic Processes and Their Applications 126, no. 12 (December 1, 2016): 3828–42. https://doi.org/10.1016/j.spa.2016.08.007.
Bhattacharya A, Dunson DB, Pati D, Pillai NS. Sub-optimality of some continuous shrinkage priors. Stochastic Processes and their Applications. 2016 Dec 1;126(12):3828–42.
Bhattacharya, A., et al. “Sub-optimality of some continuous shrinkage priors.” Stochastic Processes and Their Applications, vol. 126, no. 12, Dec. 2016, pp. 3828–42. Scopus, doi:10.1016/j.spa.2016.08.007.
Bhattacharya A, Dunson DB, Pati D, Pillai NS. Sub-optimality of some continuous shrinkage priors. Stochastic Processes and their Applications. 2016 Dec 1;126(12):3828–3842.
Published In
Stochastic Processes and their Applications
DOI
ISSN
0304-4149
Publication Date
December 1, 2016
Volume
126
Issue
12
Start / End Page
3828 / 3842
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 4901 Applied mathematics
- 1502 Banking, Finance and Investment
- 0104 Statistics
- 0102 Applied Mathematics