On Bayesian lasso variable selection and the specification of the shrinkage parameter

DOI10.1007/S11222-012-9316-XMaRDI QIDQ746286zbMATHOpenAlexFDO

Authors Anastasia Lykou, I. Ntzoufras

Publication date 16 October 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-012-9316-x

zbMATH Keywords

MCMCshrinkagepartial correlationBayes factorsPearson correlationbenchmark and threshold correlationsgamma hyperprior for \(\lambda\)

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical ranking and selection procedures (62F07) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

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Cited in

(18)

• Bayesian penalized cumulative logit model for high-dimensional data with an ordinal response
• Bayesian variable selection and estimation for group Lasso
• Variable selection in linear-circular regression models
• An efficient Monte Carlo EM algorithm for Bayesian Lasso
• Bayesian approaches to variable selection in mixture models with application to disease clustering
• Bayesian variable selection and estimation in semiparametric joint models of multivariate longitudinal and survival data
• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Comparing methods for estimating patient-specific treatment effects in individual patient data meta-analysis
• Variable selection using shrinkage priors
• Bayesian approaches to variable selection: a comparative study from practical perspectives
• Approximate Gibbs sampler for Bayesian Huberized lasso
• Tuning Parameter Selection in the LASSO with Unspecified Propensity
• Scalable Bayesian Regression in High Dimensions With Multiple Data Sources
• Comparing Bayesian variable selection to Lasso approaches for applications in psychology
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Bayesian models for aggregate and individual patient data component network meta-analysis
• Bayesian adaptive lasso with variational Bayes for variable selection in high-dimensional generalized linear mixed models
• A robust Bayesian analysis of variable selection under prior ignorance

Describes a project that uses

Uses Software

• R
• WinBUGS
• spikeSlabGAM
• Monomvn

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