A note on simulation methods for the Dirichlet-Laplace prior

Luis Gruber, Gregor Kastner, Anirban Bhattacharya, Debdeep Pati, Natesh Pillai and David Dunson

Papers from arXiv.org

Abstract: Bhattacharya et al. (2015, Journal of the American Statistical Association 110(512): 1479-1490) introduce a novel prior, the Dirichlet-Laplace (DL) prior, and propose a Markov chain Monte Carlo (MCMC) method to simulate posterior draws under this prior in a conditionally Gaussian setting. The original algorithm samples from conditional distributions in the wrong order, i.e., it does not correctly sample from the joint posterior distribution of all latent variables. This note details the issue and provides two simple solutions: A correction to the original algorithm and a new algorithm based on an alternative, yet equivalent, formulation of the prior. This corrigendum does not affect the theoretical results in Bhattacharya et al. (2015).

Date: 2025-08
New Economics Papers: this item is included in nep-cmp and nep-ecm
References: View complete reference list from CitEc
Citations:

Published in Correction. (2025). Journal of the American Statistical Association

Downloads: (external link)
http://arxiv.org/pdf/2508.11982 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2508.11982

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().