Selection of tuning parameters, solution paths and standard errors for Bayesian Lassos

DOI10.1214/16-BA1025MaRDI QIDQ1699685zbMATH OpenOpenAlexFDO

Authors Vivekananda Roy, Sounak Chakraborty

Publication date 23 February 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1473276258

zbMATH Keywords

Markov chain Monte CarloshrinkageBayesian Lassoelastic netimportance samplingempirical Bayesgeometric ergodicitystandard errors

Mathematics Subject Classification ID

Bayesian inference (62F15) Ridge regression; shrinkage estimators (Lasso) (62J07) Discrete-time Markov processes on general state spaces (60J05)

Recommendations

• Penalized regression, standard errors, and Bayesian Lassos
• The Bayesian Lasso
• Bayesian hyper-Lassos with non-convex penalization
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
• Bayesian adaptive Lasso

Cited in

(13)

• Structured Shrinkage Priors
• Selection of Proposal Distributions for Multiple Importance Sampling
• On Bayesian lasso variable selection and the specification of the shrinkage parameter
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Sparse Online Variational Bayesian Regression
• An exact sampler for fully Baysian elastic net
• Selection of tuning parameters in bridge regression models via Bayesian information criterion
• Comparing Bayesian variable selection to Lasso approaches for applications in psychology
• Penalized regression, standard errors, and Bayesian Lassos
• Elastic net regression with the value of the \(L_2\) penalty parameter associated with Bayesian analysis
• \( \mathcal{G} \)-LIME: statistical learning for local interpretations of deep neural networks using global priors
• Tuning Parameter Selection in the LASSO with Unspecified Propensity
• Testing Sparsity-Inducing Penalties

This page was built for publication: Selection of tuning parameters, solution paths and standard errors for Bayesian Lassos

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1699685)