A Bayesian approach with generalized ridge estimation for high-dimensional regression and testing

DOI10.1080/03610918.2016.1193195zbMath1388.62214OpenAlexW2505899558MaRDI QIDQ4638806

Takeshi Emura, Szu-Peng Yang

Publication date: 30 April 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1193195

zbMATH Keywords

linear modelshrinkage estimatorBayes estimatormean square errorstatistical decision theorycompound covariate estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) General considerations in statistical decision theory (62C05)

Related Items (5)

Robust ridge M-estimators with pretest and Stein-rule shrinkage for an intercept term ⋮ A weight function method for selection of proteins to predict an outcome using protein expression data ⋮ Bayesian ridge regression for survival data based on a vine copula-based prior ⋮ g.ridge ⋮ Bayesian ridge estimators based on copula-based joint prior distributions for regression coefficients

Uses Software

• glmnet
• compound.Cox

Cites Work

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• Some Comments on C P
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• The Risk of James–Stein and Lasso Shrinkage

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