Bayesian Lasso : Concentration and MCMC Diagnosis

Daoud Ounaissi; Nadji Rahmania

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arXiv · 1802.08572

Bayesian Lasso : Concentration and MCMC Diagnosis

Daoud Ounaissi·Nadji Rahmania

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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

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Daoud Ounaissi, Nadji Rahmania. 2018-02-22. Bayesian Lasso : Concentration and MCMC Diagnosis. https://arxiv.org/abs/1802.08572

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