Abstract
This article develops a slice sampler for Bayesian linear regression models with arbitrary priors. The new sampler has two advantages over current approaches. One, it is faster than many custom implementations that rely on auxiliary latent variables, if the number of regressors is large. Two, it can be used with any prior with a density function that can be evaluated up to a normalizing constant, making it ideal for investigating the properties of new shrinkage priors without having to develop custom sampling algorithms. The new sampler takes advantage of the special structure of the linear regression likelihood, allowing it to produce better effective sample size per second than common alternative approaches.
Original language | English (US) |
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Pages (from-to) | 142-154 |
Number of pages | 13 |
Journal | Journal of Computational and Graphical Statistics |
Volume | 28 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2 2019 |
Keywords
- Bayesian computation
- Linear regression
- Shrinkage priors
- Slice sampling
ASJC Scopus subject areas
- Statistics and Probability
- Discrete Mathematics and Combinatorics
- Statistics, Probability and Uncertainty
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Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors
Hahn, R. (Contributor), He, J. (Contributor) & Lopes, H. F. (Contributor), figshare Academic Research System, 2019
DOI: 10.6084/m9.figshare.6534089.v3, https://tandf.figshare.com/articles/Efficient_sampling_for_Gaussian_linear_regression_with_arbitrary_priors/6534089/3
Dataset
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Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors
Hahn, R. (Contributor), He, J. (Contributor) & Lopes, H. F. (Contributor), Taylor & Francis, 2018
DOI: 10.6084/m9.figshare.6534089.v2, https://tandf.figshare.com/articles/Efficient_sampling_for_Gaussian_linear_regression_with_arbitrary_priors/6534089/2
Dataset
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Efficient Sampling for Gaussian Linear Regression With Arbitrary Priors
Hahn, R. (Contributor), He, J. (Contributor) & Lopes, H. F. (Contributor), Taylor & Francis, 2019
DOI: 10.6084/m9.figshare.6534089, https://tandf.figshare.com/articles/Efficient_sampling_for_Gaussian_linear_regression_with_arbitrary_priors/6534089
Dataset