Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO

DOI10.1080/10618600.2019.1593179OpenAlexW2751495563WikidataQ128183754 ScholiaQ128183754MaRDI QIDQ3391213

Veronika Rockova, Sameer K. Deshpande, Edward I. George

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08911

zbMATH Keywords

EM algorithmnonconvex optimizationmultivariate regressionBayesian shrinkageGaussian graphical modeling

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (18)

Variable screening in multivariate linear regression with high-dimensional covariates ⋮ A generalized likelihood-based Bayesian approach for scalable joint regression and covariance selection in high dimensions ⋮ Bayesian Variable Selection for Gaussian Copula Regression Models ⋮ Latent Network Estimation and Variable Selection for Compositional Data Via Variational EM ⋮ An integrated precision matrix estimation for multivariate regression problems ⋮ Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹ ⋮ Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+ ⋮ The EAS approach to variable selection for multivariate response data in high-dimensional settings ⋮ Joint variable selection and network modeling for detecting eQTLs ⋮ Spike-and-Slab Group Lassos for Grouped Regression and Sparse Generalized Additive Models ⋮ The Graphical Horseshoe Estimator for Inverse Covariance Matrices ⋮ Spike-and-slab Lasso biclustering ⋮ Joint mean-covariance estimation via the horseshoe ⋮ Bayesian Bootstrap Spike-and-Slab LASSO ⋮ Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors ⋮ An Expectation Conditional Maximization Approach for Gaussian Graphical Models ⋮ Bayesian Regularization for Graphical Models With Unequal Shrinkage ⋮ Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures

Uses Software

• R
• glasso
• QUIC
• MRCE
• HdBCS
• EMVS

Cites Work

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