Posterior asymptotic normality for an individual coordinate in high-dimensional linear regression

  title={Posterior asymptotic normality for an individual coordinate in high-dimensional linear regression},
  author={Dana Yang},
  journal={Electronic Journal of Statistics},
  • Dana Yang
  • Published 9 April 2017
  • Mathematics, Computer Science
  • Electronic Journal of Statistics
We consider the sparse high-dimensional linear regression model $Y=Xb+\epsilon$ where $b$ is a sparse vector. For the Bayesian approach to this problem, many authors have considered the behavior of the posterior distribution when, in truth, $Y=X\beta+\epsilon$ for some given $\beta$. There have been numerous results about the rate at which the posterior distribution concentrates around $\beta$, but few results about the shape of that posterior distribution. We propose a prior distribution for… 
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