arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1506.04778stat.CO
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高维回归中混合高斯尺度先验的快速采样

Fast sampling with Gaussian scale-mixture priors in high-dimensional regression

Anirban Bhattacharya, Antik Chakraborty, Bani K. Mallick

摘要:

我们提出了一种有效的方法来从一类结构化的多变量高斯分布,通常出现的模型参数,被分配一个条件高斯先验的条件后验样本。该算法只需要矩阵乘法和线性系统的解决方案的形式的矩阵运算。我们表明,该算法的计算复杂度与维度线性增长,不像现有的算法依赖于Cholesky因子分解与三阶的复杂性。该算法应广泛适用于设置高斯尺度混合先验使用高维模型参数。我们提供了一个例子,通过后验抽样在一个高维回归设置与马蹄铁之前的向量上的回归系数。

英文摘要:

We propose an efficient way to sample from a class of structured multivariate Gaussian distributions which routinely arise as conditional posteriors of model parameters that are assigned a conditionally Gaussian prior. The proposed algorithm only requires matrix operations in the form of matrix multiplications and linear system solutions. We exhibit that the computational complexity of the proposed algorithm grows linearly with the dimension unlike existing algorithms relying on Cholesky factorizations with cubic orders of complexity. The algorithm should be broadly applicable in settings where Gaussian scale mixture priors are used on high dimensional model parameters. We provide an illustration through posterior sampling in a high dimensional regression setting with a horseshoe prior on the vector of regression coefficients.

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