Bayesian selection of best subsets via hybrid search

DOI10.1007/S00180-020-00996-YMaRDI QIDQ2667010zbMATH OpenOpenAlexFDO

Authors Shiqiang Jin, Gyuhyeong Goh

Publication date 23 November 2021

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-020-00996-y

zbMATH Keywords

Bayesian variable selectionbest subset selectionhigh-dimensional regression analysishybrid search algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Bayes Factors
• Bayesian Graphical Models for Discrete Data
• Bayesian Subset Modeling for High-Dimensional Generalized Linear Models
• Best subset selection via a modern optimization lens
• Estimating the dimension of a model
• Extended Bayesian information criteria for model selection with large model spaces
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Nearly unbiased variable selection under minimax concave penalty
• Optimization by simulated annealing
• Regularization and Variable Selection Via the Elastic Net
• Shotgun Stochastic Search for “Largep” Regression
• Stochastic Approximation in Monte Carlo Computation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(6)

• High-dimensional variable selection via low-dimensional adaptive learning
• A polynomial algorithm for best-subset selection problem
• Better subset regression
• Best-subset model selection based on multitudinal assessments of likelihood improvements
• Communication-efficient estimation for distributed subset selection
• A hybrid deterministic-deterministic approach for high-dimensional Bayesian variable selection with a default prior

Describes a project that uses

Uses Software

• SSS

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