An efficient Monte Carlo EM algorithm for Bayesian Lasso

DOI10.1080/00949655.2013.786080MaRDI QIDQ5219484zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2015207 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• Bayesian lasso regression
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• Maximum Likelihood Algorithms for Generalized Linear Mixed Models
• Maximum Likelihood Variance Components Estimation for Binary Data
• On Bayesian lasso variable selection and the specification of the shrinkage parameter
• Penalized regression, standard errors, and Bayesian Lassos
• Regression Shrinkage and Selection via The Lasso: A Retrospective
• Regularization and Variable Selection Via the Elastic Net
• Robust Bayesian analysis: sensitivity to the prior
• The Adaptive Lasso and Its Oracle Properties
• The Bayesian Lasso
• The Bayesian elastic net
• The elements of statistical learning. Data mining, inference, and prediction
• The horseshoe estimator for sparse signals

Cited in

(5)

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

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Uses Software

• spikeSlabGAM
• lars
• Monomvn
• ElemStatLearn

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