Bayesian Lasso : Concentration and MCMC Diagnosis
Statistics Theory
2018-02-26 v1 Statistics Theory
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
Keywords
Cite
@article{arxiv.1802.08572,
title = {Bayesian Lasso : Concentration and MCMC Diagnosis},
author = {Daoud Ounaissi and Nadji Rahmania},
journal= {arXiv preprint arXiv:1802.08572},
year = {2018}
}
Comments
arXiv admin note: text overlap with arXiv:1512.01366