Bayesian projection approaches to variable selection in generalized linear models

DOI10.1016/j.csda.2010.01.036zbMath1284.62461arXiv0901.4605OpenAlexW2139474805MaRDI QIDQ2445776

Chenlei Leng, David J. Nott

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.4605

zbMATH Keywords

preconditioninglassoBayesian variable selectionKullback-Leibler projectionnon-negative garotte

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12)

Related Items

Comparison of Bayesian predictive methods for model selection, Bayesian binary regression with exponential power link, A new minimal training sample scheme for intrinsic Bayes factors in censored data, Projective inference in high-dimensional problems: prediction and feature selection, Fast, Optimal, and Targeted Predictions Using Parameterized Decision Analysis, Practical variable selection for generalized additive models, A survey of Bayesian predictive methods for model assessment, selection and comparison, Special issue on variable selection and robust procedures, The predictive Lasso, Reversible jump methods for generalised linear models and generalised linear mixed models

Uses Software

• R
• MASS (R)
• Mcmcpack
• BayesDA

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