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2020 Bayesian shrinkage towards sharp minimaxity
Qifan Song
Electron. J. Statist. 14(2): 2714-2741 (2020). DOI: 10.1214/20-EJS1732

Abstract

Shrinkage priors are becoming more and more popular in Bayesian modeling for high dimensional sparse problems due to its computational efficiency. Recent works show that a polynomially decaying prior leads to satisfactory posterior asymptotics under regression models. In the literature, statisticians have investigated how the global shrinkage parameter, i.e., the scale parameter, in a heavy tailed prior affects the posterior contraction. In this work, we explore how the shape of the prior, or more specifically, the polynomial order of the prior tail affects the posterior. We discover that, under the sparse normal means model, the polynomial order does affect the multiplicative constant of the posterior contraction rate. More importantly, if the polynomial order is sufficiently close to 1, it will induce the optimal Bayesian posterior convergence, in the sense that the Bayesian contraction rate is sharply minimax, i.e., not only the order, but also the multiplicative constant of the posterior contraction rate are optimal. The above Bayesian sharp minimaxity holds when the global shrinkage parameter follows a deterministic choice which depends on the unknown sparsity $s$. Therefore, a Beta-prior modeling is further proposed, such that our sharply minimax Bayesian procedure is adaptive to unknown $s$. Our theoretical discoveries are justified by simulation studies.

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Qifan Song. "Bayesian shrinkage towards sharp minimaxity." Electron. J. Statist. 14 (2) 2714 - 2741, 2020. https://doi.org/10.1214/20-EJS1732

Information

Received: 1 May 2019; Published: 2020
First available in Project Euclid: 22 July 2020

zbMATH: 1446.62056
MathSciNet: MR4125855
Digital Object Identifier: 10.1214/20-EJS1732

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