Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors

Ruoyang Zhang and Malay Ghosh

Journal of Multivariate Analysis, 2022, vol. 187, issue C

Abstract: In recent years, shrinkage priors have received much attention in high-dimensional data analysis from a Bayesian perspective. Compared with widely used spike-and-slab priors, shrinkage priors have better computational efficiency. But the theoretical properties, especially posterior contraction rate, which is important in uncertainty quantification, are not established in many cases. In this paper, we apply global–local shrinkage priors to high-dimensional multivariate linear regression with unknown covariance matrix. We show that when the prior is highly concentrated near zero and has heavy tail, the posterior contraction rates for both coefficients matrix and covariance matrix are nearly optimal. Our results hold when number of features p grows much faster than the sample size n, which is of great interest in modern data analysis. We show that a class of readily implementable scale mixture of normal priors satisfies the conditions of the main theorem.

Keywords: Gaussian scale mixture; Multivariate regression; Unknown covariance matrix (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x21001135

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DOI: 10.1016/j.jmva.2021.104835

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