Unified Bayesian theory of sparse linear regression with nuisance parameters

2020/08/24 by Seonghyun Jeong, Jeong, Seonghyun, Subhashis Ghosal +1 · 1 citation
Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Statistical Methods and Bayesian Inference #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2008.10230

openalex publication_date 2020/08/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study frequentist asymptotic properties of Bayesian procedures for high-dimensional Gaussian sparse regression when unknown nuisance parameters are involved. Nuisance parameters can be finite-, high-, or infinite-dimensional. A mixture of point masses at zero and continuous distributions is used for the prior distribution on sparse regression coefficients, and appropriate prior distributions are used for nuisance parameters. The optimal posterior contraction of sparse regression coefficients, hampered by the presence of nuisance parameters, is also examined and discussed. It is shown that the procedure yields strong model selection consistency. A Bernstein-von Mises-type theorem for sparse regression coefficients is also obtained for uncertainty quantification through credible sets with guaranteed frequentist coverage. Asymptotic properties of numerous examples are investigated using the theories developed in this study.

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