Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors

DOI10.1214/17-BA1076zbMath1407.62272arXiv1602.01160MaRDI QIDQ1631579

Howard D. Bondell, Yan Zhang

Publication date: 6 December 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.01160

zbMATH Keywords

linear regressionvariable selectionposterior consistencyDirichlet-Laplaceglobal-local shrinkage priorhyperparameter tuningposterior credible region

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (8)

Bayesian Regression Using a Prior on the Model Fit: The R2-D2 Shrinkage Prior ⋮ Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ Informative Bayesian neural network priors for weak signals ⋮ A novel Bayesian approach for variable selection in linear regression models ⋮ Bayesian approaches to variable selection: a comparative study from practical perspectives ⋮ Computationally efficient inference in large Bayesian mixed frequency VARs ⋮ Supervised t-Distributed Stochastic Neighbor Embedding for Data Visualization and Classification ⋮ Sparse linear mixed model selection via streamlined variational Bayes

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