Asymptotic normality of posterior distributions in high-dimensional linear models

被引:44
作者
Ghosal, S [1 ]
机构
[1] Vrije Univ Amsterdam, Fac Math & Comp Sci, NL-1081 HV Amsterdam, Netherlands
关键词
high dimension; linear model; normal approximation; posterior consistency; posterior distribution;
D O I
10.2307/3318438
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study consistency and asymptotic normality of posterior distributions of the regression coefficient in a linear model when the dimension of the parameter grows with increasing sample size. Under certain growth restrictions on the dimension (depending on the design matrix), we show that the posterior distributions concentrate in neighbourhoods of the true parameter and can be approximated by an appropriate normal distribution.
引用
收藏
页码:315 / 331
页数:17
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