Empirical bayes oracle uncertainty quantification for regression

We propose an empirical Bayes method for high-dimensional linear regression models. Following an oracle approach that quantifies the error locally for each possible value of the parameter, we show that an empirical Bayes posterior contracts at the optimal rate at all parameters and leads to uniform size-optimal credible balls with guaranteed coverage under an "excessive bias restriction"condition. This condition gives rise to a new slicing of the entire space that is suitable for ensuring uniformity in uncertainty quantification. The obtained results immediately lead to optimal contraction and coverage properties for many conceivable classes simultaneously. The results are also extended to high-dimensional additive nonparametric regression models