Electronic Journal of Statistics

Empirical Bayes analysis of spike and slab posterior distributions

Ismaël Castillo and Romain Mismer

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In the sparse normal means model, convergence of the Bayesian posterior distribution associated to spike and slab prior distributions is considered. The key sparsity hyperparameter is calibrated via marginal maximum likelihood empirical Bayes. The plug-in posterior squared–$L^{2}$ norm is shown to converge at the minimax rate for the euclidean norm for appropriate choices of spike and slab distributions. Possible choices include standard spike and slab with heavy tailed slab, and the spike and slab LASSO of Ročková and George with heavy tailed slab. Surprisingly, the popular Laplace slab is shown to lead to a suboptimal rate for the empirical Bayes posterior itself. This provides a striking example where convergence of aspects of the empirical Bayes posterior such as the posterior mean or median does not entail convergence of the complete empirical Bayes posterior itself.

Article information

Electron. J. Statist., Volume 12, Number 2 (2018), 3953-4001.

Received: December 2017
First available in Project Euclid: 8 December 2018

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Zentralblatt MATH identifier

Primary: 62G20: Asymptotic properties

Convergence rates of posterior distributions spike and slab spike and slab LASSO Empirical Bayes

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Castillo, Ismaël; Mismer, Romain. Empirical Bayes analysis of spike and slab posterior distributions. Electron. J. Statist. 12 (2018), no. 2, 3953--4001. doi:10.1214/18-EJS1494. https://projecteuclid.org/euclid.ejs/1544238109

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