Bayesian l₀-regularized least squares

DOI10.1002/ASMB.2381MaRDI QIDQ6574590zbMATH OpenFDO

Authors Nicholas G. Polson, Lei Sun

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2381

zbMATH Keywords

\(l_0\) regularizationBayesian variable selectionproximal updatingsingle best replacementsparsityspike-and-slab prior

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Deep partial least squares for instrumental variable regression
• Bayesian regularization: from Tikhonov to horseshoe
• Provably Efficient Posterior Sampling for Sparse Linear Regression via Measure Decomposition
• Multi-task learning for sparsity pattern heterogeneity: statistical and computational perspectives

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