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Posterior consistency in linear models under shrinkage priors

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. Copyright 2013, Oxford University Press.
Year of publication:
2013
Authors: Armagan, A. ; Dunson, D. B. ; Lee, J. ; Bajwa, W. U. ; Strawn, N.
Published in:
Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 100.2013, 4, p. 1011-1018
Publisher: Biometrika Trust
Extent:
application/pdf
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10010721760
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