Prior-preconditioned conjugate gradient method for accelerated Gibbs sampling in "large $n$ & large $p$" Bayesian sparse regression

Akihiko Nishimura, Marc A. Suchard

In a modern observational study based on healthcare databases, the number of observations and of predictors typically range in the order of $10^5$ ~ $10^6$ and of $10^4$ ~ $10^5$.…