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arXiv · 1605.07981

Bayesian Variable Selection and Estimation Based on Global-Local Shrinkage Priors

Xueying Tang·Xiaofan Xu·Malay Ghosh·Prasenjit Ghosh
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Abstract

In this paper, we consider Bayesian variable selection problem of linear regression model with global-local shrinkage priors on the regression coefficients. We propose a variable selection procedure that select a variable if the ratio of the posterior mean to the ordinary least square estimate of the corresponding coefficient is greater than $1/2$. Under the assumption of orthogonal designs, we show that if the local parameters have polynomial-tailed priors, our proposed method enjoys the oracle property in the sense that it can achieve variable selection consistency and optimal estimation rate at the same time. However, if, instead, an exponential-tailed prior is used for the local parameters, the proposed method does not have the oracle property.

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Xueying Tang, Xiaofan Xu, Malay Ghosh, Prasenjit Ghosh. 2016-05-25. Bayesian Variable Selection and Estimation Based on Global-Local Shrinkage Priors. https://arxiv.org/abs/1605.07981

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