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Bayesian High Dimensional Multivariate Regression with Shrinkage Priors Ghosh, Malay
Description
We consider sparse Bayesian estimation in the classical multivariate linear regression model with p regressors and q response variables. In univariate Bayesian linear regression with a single response y, shrinkage priors which can be expressed as scale-mixtures of normal densities are a popular approach for obtaining sparse estimates of the coefficients. In this paper, we extend the use of these priors to the multivariate case to estimate a p times q coefficients matrix B. Our method can be used for any sample size n and any dimension p. Moreover, we show that the posterior distribution can consistently estimate B even when p grows at nearly exponential rate with the sample size n. Concentration inequalities are proved and our results are illustrated through simulation and data analysis.
Item Metadata
Title |
Bayesian High Dimensional Multivariate Regression with Shrinkage Priors
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2019-04-08T16:21
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Description |
We consider sparse Bayesian estimation in the classical multivariate linear regression model with p regressors and q response variables. In univariate Bayesian linear regression with a single response y, shrinkage priors which can be expressed as scale-mixtures of normal densities are a popular approach for obtaining sparse estimates of the coefficients. In this paper, we extend the use of these priors to the multivariate case to estimate a p times q coefficients matrix B. Our method can be used for any sample size n and any dimension p. Moreover, we show that the posterior distribution can consistently estimate B even when p grows at nearly exponential rate with the sample size n. Concentration inequalities are proved and our results are illustrated through simulation and data analysis.
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Extent |
56.0 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: University of Florida
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Series | |
Date Available |
2019-10-06
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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DOI |
10.14288/1.0383294
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Faculty
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International