Variational Inference of Linear Regression with Nonzero Prior Means

Abstract

In this article, we employ the variational Bayesian method to study the parameter estimation problems of linear regression model, wherein some regressors are of Gaussian distribution with nonzero prior means. We obtain an analytical expression of the posterior parameter distribution, and then propose an iterative algorithm for the model. Simulations are carried out to test the performance of the proposed algorithm, and the simulation results confirm both the effectiveness and the reliability of the proposed algorithm.

Keywords:

• Linear regression
• Nonzero prior means
• Variational inference

Mathematics Subject Classification:

• 62J05; 62F15