- Volume 23, Number 3 (2017), 1822-1847.
Empirical Bayes posterior concentration in sparse high-dimensional linear models
We propose a new empirical Bayes approach for inference in the $p\gg n$ normal linear model. The novelty is the use of data in the prior in two ways, for centering and regularization. Under suitable sparsity assumptions, we establish a variety of concentration rate results for the empirical Bayes posterior distribution, relevant for both estimation and model selection. Computation is straightforward and fast, and simulation results demonstrate the strong finite-sample performance of the empirical Bayes model selection procedure.
Bernoulli, Volume 23, Number 3 (2017), 1822-1847.
Received: September 2015
Revised: December 2015
First available in Project Euclid: 17 March 2017
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Martin, Ryan; Mess, Raymond; Walker, Stephen G. Empirical Bayes posterior concentration in sparse high-dimensional linear models. Bernoulli 23 (2017), no. 3, 1822--1847. doi:10.3150/15-BEJ797. https://projecteuclid.org/euclid.bj/1489737626