BAYESIAN HYPER-LASSOS WITH NON-CONVEX PENALIZATION

DOI10.1111/j.1467-842X.2011.00641.xzbMath1335.62047OpenAlexW1959944918MaRDI QIDQ2802765

Philip J. Brown, Jim E. Griffin

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2011.00641.x

zbMATH Keywords

oracle propertypenalized likelihoodBayesian variable selectionnon-convexitynormal-exponential-gammahyper-Lasso

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Statistical ranking and selection procedures (62F07)

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Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Bayesian sigmoid shrinkage with improper variance priors and an application to wavelet denois\-ing
• Heuristics of instability and stabilization in model selection
• Nonconcave penalized likelihood with a diverging number of parameters.
• Spike and slab variable selection: frequentist and Bayesian strategies
• High-dimensional graphs and variable selection with the Lasso
• Empirical Bayes selection of wavelet thresholds
• Inference with normal-gamma prior distributions in regression problems
• Shrinkage Tuning Parameter Selection with a Diverging number of Parameters
• The Bayesian Lasso
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• Bayesian Wavelet Regression on Curves With Application to a Spectroscopic Calibration Problem
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• Bayesian Classification of Tumours by Using Gene Expression Data
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• Tuning parameter selectors for the smoothly clipped absolute deviation method
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