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BAYESIAN LASSO: CONCENTRATION AND MCMC DIAGNOSIS
Keywords:
LASSO, Bayes, MCMC, log-concave, geometry, incomplete gamma function.DOI:
https://doi.org/10.17654/0972086322005Abstract
Using a 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 l1 and l2 norms. We derive the concentration of Bayesian LASSO, and present MCMC convergence diagnosis.
Received: March 29, 2022
Revised: April 21, 2022
Accepted: May 5, 2022
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