Posterior contraction in group sparse logit models for categorical responses (2010.03513v3)

Abstract: This paper studies posterior contraction rates in multi-category logit models with priors incorporating group sparse structures. We consider a general class of logit models that includes the well-known multinomial logit models as a special case. Group sparsity is useful when predictor variables are naturally clustered and particularly useful for variable selection in the multinomial logit models. We provide a unified platform for posterior contraction rates of group-sparse logit models that include binary logistic regression under individual sparsity. No size restriction is directly imposed on the true signal in this study. In addition to establishing the first-ever contraction properties for multi-category logit models under group sparsity, this work also refines recent findings on the Bayesian theory of binary logistic regression.