Combining a relaxed EM algorithm with Occam's razor for Bayesian variable selection in high-dimensional regression

DOI10.1016/J.JMVA.2015.09.004MaRDI QIDQ268752zbMATH OpenOpenAlexFDO

Authors Pierre Latouche, Pierre-Alexandre Mattei, Julien Chiquet, Charles Bouveyron

Publication date 15 April 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2015.09.004

zbMATH Keywords

variable selectionEM algorithmhigh-dimensional datalinear regressionOccam's razorspike-and-slab

Mathematics Subject Classification ID

Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cited in

(4)

• A novel variational Bayesian method for variable selection in logistic regression models
• An introduction to recent advances in high/infinite dimensional statistics
• Particle EM for variable selection
• Bayesian variable selection for globally sparse probabilistic PCA

Describes a project that uses

Uses Software

• R
• CRAN
• fda (R)
• LBFGS-B
• PDCO
• spikeslab
• spinyReg
• Bolasso
• EMVS

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