Bayesian variable selection and estimation for group Lasso
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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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Cited in
(61)- Bayesian regularization for a nonstationary Gaussian linear mixed effects model
- Interpretability of bi-level variable selection methods
- Novel application of a process convolution approach for calibrating output from numerical models
- Optimized variable selection via repeated data splitting
- Bayesian meta-analysis models for cross cancer genomic investigation of pleiotropic effects using group structure
- Semiparametric Bayesian variable selection for gene-environment interactions
- Gene-gene interaction analysis incorporating network information via a structured Bayesian approach
- Spike-and-slab least absolute shrinkage and selection operator generalized additive models and scalable algorithms for high-dimensional data analysis
- Models with observation error and temporary emigration for count data
- Robust Bayesian Variable Selection for Gene–Environment Interactions
- Variable selection, monotone likelihood ratio and group sparsity
- Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors
- Estimation and inference for area-wise spatial income distributions from grouped data
- Bayesian penalized model for classification and selection of functional predictors using longitudinal MRI data from ADNI
- Group variable selection via SCAD-L2
- Bayesian group bridge for bi-level variable selection
- Prior-Preconditioned Conjugate Gradient Method for Accelerated Gibbs Sampling in “Large n , Large p ” Bayesian Sparse Regression
- Joint genome-wide prediction in several populations accounting for randomness of genotypes: a hierarchical Bayes approach. II: Multivariate spike and slab priors for marker effects and derivation of approximate Bayes and fractional Bayes factors for the complete family of models
- Bayesian pathway selection
- Consistent group selection with Bayesian high dimensional modeling
- Fast Markov Chain Monte Carlo for High-Dimensional Bayesian Regression Models With Shrinkage Priors
- Development of network-guided transcriptomic risk score for disease prediction
- Consistent group selection using nonlocal priors in regression
- BIVAS: A Scalable Bayesian Method for Bi-Level Variable Selection With Applications
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- A review study of functional autoregressive models with application to energy forecasting
- A review of Bayesian group selection approaches for linear regression models
- Bayesian effect selection in structured additive distributional regression models
- Objective Bayesian group variable selection for linear model
- Model selection using mass-nonlocal prior
- Spike-and-Slab Group Lassos for Grouped Regression and Sparse Generalized Additive Models
- RADIOHEAD: radiogenomic analysis incorporating tumor heterogeneity in imaging through densities
- Bayesian group selection with non-local priors
- Bayesian sparse convex clustering via global-local shrinkage priors
- Sparse regularization for bi-level variable selection
- Bayesian variable selection regression of multivariate responses for group data
- Bayesian MIDAS penalized regressions: estimation, selection, and prediction
- Multiple imputation for longitudinal data using Bayesian Lasso imputation model
- Bayesian group selection in logistic regression with application to MRI data analysis
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- The spike-and-slab LASSO
- Bayesian Group-Sparse Modeling and Variational Inference
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- Using the EM algorithm for Bayesian variable selection in logistic regression models with related covariates
- Bayesian indicator variable selection to incorporate hierarchical overlapping group structure in multi-omics applications
- Discussion
- Theory of optimal Bayesian feature filtering
- High-dimensional multivariate posterior consistency under global-local shrinkage priors
- SGL-SVM: a novel method for tumor classification via support vector machine with sparse group lasso
- A Bayesian approach for partial Gaussian graphical models with sparsity
- Group variable selection via a hierarchical lasso and its oracle property
- Adaptive group Lasso selection in quantile models
- Review of Bayesian selection methods for categorical predictors using JAGS
- Inference of gene regulatory networks using Bayesian nonparametric regression and topology information
- A robust Bayesian approach for causal inference problems
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