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September 2015 Necessary and Sufficient Conditions for High-Dimensional Posterior Consistency under g-Priors
Douglas K. Sparks, Kshitij Khare, Malay Ghosh
Bayesian Anal. 10(3): 627-664 (September 2015). DOI: 10.1214/14-BA893

Abstract

We examine necessary and sufficient conditions for posterior consistency under g-priors, including extensions to hierarchical and empirical Bayesian models. The key features of this article are that we allow the number of regressors to grow at the same rate as the sample size and define posterior consistency under the sup vector norm instead of the more conventional Euclidean norm. We consider in particular the empirical Bayesian model of George and Foster (2000), the hyper-g-prior of Liang et al. (2008), and the prior considered by Zellner and Siow (1980).

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Douglas K. Sparks. Kshitij Khare. Malay Ghosh. "Necessary and Sufficient Conditions for High-Dimensional Posterior Consistency under g-Priors." Bayesian Anal. 10 (3) 627 - 664, September 2015. https://doi.org/10.1214/14-BA893

Information

Published: September 2015
First available in Project Euclid: 2 February 2015

zbMATH: 1335.62066
MathSciNet: MR3420818
Digital Object Identifier: 10.1214/14-BA893

Rights: Copyright © 2015 International Society for Bayesian Analysis

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Vol.10 • No. 3 • September 2015
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