BAYESIAN HYPER-LASSOS WITH NON-CONVEX PENALIZATION

DOI10.1111/j.1467-842X.2011.00641.xzbMath1335.62047MaRDI QIDQ2802765

Philip J. Brown, Jim E. Griffin

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2011.00641.x

zbMATH Keywords

oracle property; penalized likelihood; Bayesian variable selection; non-convexity; normal-exponential-gamma; hyper-Lasso

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62J07: Ridge regression; shrinkage estimators (Lasso)

62F15: Bayesian inference

62F07: Statistical ranking and selection procedures

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