Title: A comprehensive Bayesian framework for envelope models
Authors: Zhihua Su - University of Florida (United States) [presenting]
Saptarshi Chakraborty - Memorial Sloan Kettering Cancer Center (United States)
Abstract: The envelope model is a nascent construct that aims to increase efficiency in multivariate analysis. It has been used in many contexts including linear regression, generalized linear models, matrix/tensor variate regression, reduced rank regression, and quantile regression, and has showed the potential to provide substantial efficiency gains. Virtually all of these advances, however, have been made from a frequentist perspective, and the literature addressing envelope models from a Bayesian point of view is sparse. The objective is to propose a Bayesian framework that is applicable across various envelope model contexts. The proposed framework aids straightforward interpretation of model parameters and allows easy incorporation of prior information. We provide a simple block Metropolis-within-Gibbs MCMC sampler for practical implementation of our method. Simulations and data examples are included for illustration.