Estimation and variable selection with exponential weights
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Abstract: In the context of a linear model with a sparse coefficient vector, exponential weights methods have been shown to be achieve oracle inequalities for prediction. We show that such methods also succeed at variable selection and estimation under the necessary identifiability condition on the design matrix, instead of much stronger assumptions required by other methods such as the Lasso or the Dantzig Selector. The same analysis yields consistency results for Bayesian methods and BIC-type variable selection under similar conditions.
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Cites work
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Cited in
(19)- Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors
- On the exponentially weighted aggregate with the Laplace prior
- PAC-Bayesian bounds for sparse regression estimation with exponential weights
- Inference without compatibility: using exponential weighting for inference on a parameter of a linear model
- Empirical priors and coverage of posterior credible sets in a sparse normal mean model
- Data-driven priors and their posterior concentration rates
- scientific article; zbMATH DE number 3867203 (Why is no real title available?)
- Ordered smoothers with exponential weighting
- Concentration inequalities for the exponential weighting method
- Empirical priors for prediction in sparse high-dimensional linear regression
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- Fitting sparse linear models under the sufficient and necessary condition for model identification
- Bayesian linear regression with sparse priors
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