Bayesian Lasso : Concentration and MCMC Diagnosis
arXiv:1802.08572
Abstract
Using posterior distribution of Bayesian LASSO we construct a semi-norm on the parameter space. We show that the partition function depends on the ratio of the l 1 and l 2 norms and present three regimes. We derive the con- centration of Bayesian LASSO, and present MCMC convergence diagnosis. Keywords: LASSO, Bayes, MCMC, log-concave, geometry, incomplete Gamma function
arXiv commentarXiv admin note: text overlap with arXiv:1512.01366
References in corpus (11)
- Least Angle Regression
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Discussion of "Least angle regression" by Efron et al
- Rejoinder to "Least angle regression" by Efron et al
- Bayesian Lasso Posterior Sampling via Parallelized Measure Transport