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

DOI10.1007/S11222-012-9316-XzbMATH Open1322.62110OpenAlexW2007107436MaRDI QIDQ746286FDOQ746286

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

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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)

Cites Work

• Bayesian Modeling Using WinBUGS
• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
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• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Inference with normal-gamma prior distributions in regression problems
• The horseshoe estimator for sparse signals
• The Bayesian Lasso
• Regularization and Variable Selection Via the Elastic Net
• A STATISTICAL PARADOX
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• The Group Lasso for Logistic Regression
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• Bayes Factors
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• The sparsity and bias of the LASSO selection in high-dimensional linear regression
• A comment on D. V. Lindley's statistical paradox
• On Bayesian model and variable selection using MCMC
• Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
• Variable selection for regression models
• Bayesian lasso regression
• Adaptive sampling for Bayesian variable selection
• Generalized double Pareto shrinkage
• On Lasso for censored data
• Sparse CCA using a lasso with positivity constraints

Cited In (18)

• Scalable Bayesian Regression in High Dimensions With Multiple Data Sources
• Bayesian approaches to variable selection: a comparative study from practical perspectives
• Bayesian variable selection and estimation for group Lasso
• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Bayesian approaches to variable selection in mixture models with application to disease clustering
• Approximate Gibbs sampler for Bayesian Huberized lasso
• Comparing methods for estimating patient-specific treatment effects in individual patient data meta-analysis
• Bayesian adaptive lasso with variational Bayes for variable selection in high-dimensional generalized linear mixed models
• Bayesian variable selection and estimation in semiparametric joint models of multivariate longitudinal and survival data
• Bayesian penalized cumulative logit model for high-dimensional data with an ordinal response
• Comparing Bayesian variable selection to Lasso approaches for applications in psychology
• Bayesian models for aggregate and individual patient data component network meta-analysis
• Title not available (Why is that?)
• Tuning Parameter Selection in the LASSO with Unspecified Propensity
• Variable selection in linear-circular regression models
• An efficient Monte Carlo EM algorithm for Bayesian lasso
• Variable selection using shrinkage priors
• A robust Bayesian analysis of variable selection under prior ignorance

Uses Software

• R
• WinBUGS
• spikeSlabGAM
• Monomvn

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