Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO
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Publication:3391213
DOI10.1080/10618600.2019.1593179MaRDI QIDQ3391213
Edward I. George, Veronika Rockova, Sameer K. Deshpande
Publication date: 28 March 2022
Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.08911
EM algorithm; nonconvex optimization; multivariate regression; Bayesian shrinkage; Gaussian graphical modeling
62-XX: Statistics
Uses Software