An efficient Monte Carlo EM algorithm for Bayesian Lasso

DOI10.1080/00949655.2013.786080zbMATH Open1453.62260OpenAlexW2052213164MaRDI QIDQ5219484FDOQ5219484

Authors:

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.786080

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zbMATH Keywords

LassoBayesian analysisimportance samplingMonte Carlo EM algorithminverse Bayes formulae

Mathematics Subject Classification ID

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

Cites Work

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• Regularization and Variable Selection Via the Elastic Net
• Maximum Likelihood Variance Components Estimation for Binary Data
• The Bayesian elastic net
• Maximizing Generalized Linear Mixed Model Likelihoods With an Automated Monte Carlo EM Algorithm
• Bayesian lasso regression
• Robust Bayesian analysis: sensitivity to the prior
• Penalized regression, standard errors, and Bayesian Lassos
• Maximum Likelihood Algorithms for Generalized Linear Mixed Models
• An efficient MCEM algorithm for fitting generalized linear mixed models for correlated binary data
• Bayesian hyper-Lassos with non-convex penalization
• On Bayesian lasso variable selection and the specification of the shrinkage parameter
• Bayesian Missing Data Problems
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Cited In (5)

• A Bayesian lasso via reversible-jump MCMC
• Bayesian Lasso: concentration and MCMC diagnosis
• The Bayesian Lasso
• A computational framework for empirical Bayes inference
• A new Bayesian Lasso

Uses Software

• spikeSlabGAM
• lars
• Monomvn
• ElemStatLearn

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