Bayesian variable selection and estimation for group Lasso

DOI10.1214/14-BA929MaRDI QIDQ273646zbMATH OpenOpenAlexFDO

Authors Xiaofan Xu, Malay Ghosh

Publication date 22 April 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.01013, https://projecteuclid.org/euclid.ba/1423083633

zbMATH Keywords

Gibbs samplinggroup variable selectionmedian thresholdingspike and slab prior

Mathematics Subject Classification ID

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

Abstract: The paper revisits the Bayesian group lasso and uses spike and slab priors for group variable selection. In the process, the connection of our model with penalized regression is demonstrated, and the role of posterior median for thresholding is pointed out. We show that the posterior median estimator has the oracle property for group variable selection and estimation under orthogonal designs, while the group lasso has suboptimal asymptotic estimation rate when variable selection consistency is achieved. Next we consider bi-level selection problem and propose the Bayesian sparse group selection again with spike and slab priors to select variables both at the group level and also within a group. We demonstrate via simulation that the posterior median estimator of our spike and slab models has excellent performance for both variable selection and estimation.

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Describes a project that uses

Uses Software

• glasso
• EBayesThresh

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