Posterior consistency in linear models under shrinkage priors

Details Posterior consistency in linear models under shrinkage priors Posterior consistency in linear models under shrinkage priors

2011-04-20

arxiv.org/abs/1104.4135v3

Statistics

Methodology

Scientific paper

We investigate the asymptotic behavior of posterior distributions of
regression coefficients in high-dimensional linear models as the number of
dimensions grows with the number of observations. Assuming a sparse true model,
we give sufficient conditions on strong posterior consistency and provide
examples with popular shrinkage priors.

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