With genomic data (e.g., SNPs), is is common that Bayesian regression models have more regression coefficients than data points, ie, n<<p. Does Bayesian asymptotics work in this case? Under regularity conditions, for a model with p<n, the posterior distribution has an asymptotic mean that coincides with a maximum likelihood estimator, but in the p>>n situation, the ML estimator does not exist.
Comments?
Thanks,
Daniel
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