Ontology highlight
ABSTRACT:
SUBMITTER: Heng Q
PROVIDER: S-EPMC10564381 | biostudies-literature | 2023
REPOSITORIES: biostudies-literature
Journal of computational and graphical statistics : a joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America 20230302 3
Proximal Markov Chain Monte Carlo is a novel construct that lies at the intersection of Bayesian computation and convex optimization, which helped popularize the use of nondifferentiable priors in Bayesian statistics. Existing formulations of proximal MCMC, however, require hyperparameters and regularization parameters to be prespecified. In this work, we extend the paradigm of proximal MCMC through introducing a novel new class of nondifferentiable priors called epigraph priors. As a proof of c ...[more]