Predictive model selection criteria for Bayesian Lasso regression

DOI10.5183/JJSCS.1501001_220MaRDI QIDQ2953957zbMATH OpenOpenAlexFDO

Authors Shuichi Kawano, Ibuki Hoshina, Kaito Shimamura, Sadanori Konishi

Publication date 11 January 2017

Published in Journal of the Japanese Society of Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5183/jjscs.1501001_220

zbMATH Keywords

\(L_{1}\) regularizationBayesian predictive distributioninformation criterionKullback-Leibler informationMarkov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(10)

• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
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• Backward elimination model construction for regression and classification using leave-one-out criteria
• Bayesian lasso regression
• Sparse regression modeling via the map Bayesian Lasso
• Model selection in quantile regression models
• Comparing Bayesian variable selection to Lasso approaches for applications in psychology
• Variable selection in linear-circular regression models
• Cross-validation prior choice in Bayesian probit regression with many covariates
• On Bayesian lasso variable selection and the specification of the shrinkage parameter

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