Empirical Bayes posterior concentration in sparse high-dimensional linear models
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DOI: 10.3150/15-bej797
Abstract: We propose a new empirical Bayes approach for inference in the $p \gg n$ normal linear model. The novelty is the use of data in the prior in two ways, for centering and regularization. Under… read more here.
Keywords: empirical bayes; posterior concentration; bayes posterior; sparse high ... See more keywords