Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective

DOI10.1080/01621459.2014.993077zbMath1373.62036arXiv1408.0464OpenAlexW2013718670MaRDI QIDQ5367377

P. Richard Hahn, Carlos Marinho Carvalho

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0464

zbMATH Keywords

decision theory model selection loss function parsimony linear regression variable selection sparsity Bayesian shrinkage prior

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07) General considerations in statistical decision theory (62C05)

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