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This is achieved with the fairly simple idea of endowing existing PDMP samplers with \u201csticky\u201d coordinate axes, coordinate planes etc. Upon hitting those subspaces, an event is triggered during which the process <jats:italic>sticks<\/jats:italic> to the subspace, this way spending some time in a sub-model. This results in <jats:italic>non-reversible<\/jats:italic> jumps between different (sub-)models. While we show that PDMP samplers in general can be made sticky, we mainly focus on the Zig-Zag sampler. Compared to the Gibbs sampler for variable selection, we heuristically derive favourable dependence of the Sticky Zig-Zag sampler on dimension and data size. The computational efficiency of the Sticky Zig-Zag sampler is further established through numerical experiments where both the sample size and the dimension of the parameter space are large.<\/jats:p>","DOI":"10.1007\/s11222-022-10180-5","type":"journal-article","created":{"date-parts":[[2022,11,28]],"date-time":"2022-11-28T13:04:11Z","timestamp":1669640651000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Sticky PDMP samplers for sparse and local inference problems"],"prefix":"10.1007","volume":"33","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-0185-5804","authenticated-orcid":false,"given":"Joris","family":"Bierkens","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2026-261X","authenticated-orcid":false,"given":"Sebastiano","family":"Grazzi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-7246-8612","authenticated-orcid":false,"given":"Frank van der","family":"Meulen","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3310-7915","authenticated-orcid":false,"given":"Moritz","family":"Schauer","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2022,11,28]]},"reference":[{"key":"10180_CR1","unstructured":"Andrieu, C., Livingstone, S.:. 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