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Efficient Empirical Bayes Variable Selection and Estimation in Linear Models


  • Yuan, Ming
  • Lin, Yi


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  • Yuan, Ming & Lin, Yi, 2005. "Efficient Empirical Bayes Variable Selection and Estimation in Linear Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1215-1225, December.
  • Handle: RePEc:bes:jnlasa:v:100:y:2005:p:1215-1225

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    Cited by:

    1. Tsionas, Efthymios G. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2016. "Bayesian GVAR with k-endogenous dominants & input–output weights: Financial and trade channels in crisis transmission for BRICs," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 1-26.
    2. C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
    3. Banerjee, Sayantan & Ghosal, Subhashis, 2015. "Bayesian structure learning in graphical models," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 147-162.
    4. Nott, David J. & Leng, Chenlei, 2010. "Bayesian projection approaches to variable selection in generalized linear models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3227-3241, December.
    5. repec:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9741-1 is not listed on IDEAS
    6. repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9660-1 is not listed on IDEAS
    7. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
    8. Yang, Aijun & Jiang, Xuejun & Liu, Pengfei & Lin, Jinguan, 2016. "Sparse Bayesian multinomial probit regression model with correlation prior for high-dimensional data classification," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 241-247.
    9. Aijun Yang & Xuejun Jiang & Lianjie Shu & Jinguan Lin, 2017. "Bayesian variable selection with sparse and correlation priors for high-dimensional data analysis," Computational Statistics, Springer, vol. 32(1), pages 127-143, March.
    10. Shizhong Xu, 2007. "An Empirical Bayes Method for Estimating Epistatic Effects of Quantitative Trait Loci," Biometrics, The International Biometric Society, vol. 63(2), pages 513-521, June.
    11. Artin Armagan & Russell Zaretzki, 2010. "Model selection via adaptive shrinkage with t priors," Computational Statistics, Springer, vol. 25(3), pages 441-461, September.
    12. McKay Curtis, S. & Banerjee, Sayantan & Ghosal, Subhashis, 2014. "Fast Bayesian model assessment for nonparametric additive regression," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 347-358.
    13. Alhamzawi, Rahim & Yu, Keming, 2013. "Conjugate priors and variable selection for Bayesian quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 209-219.
    14. Chenlei Leng & Minh-Ngoc Tran & David Nott, 2014. "Bayesian adaptive Lasso," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 221-244, April.
    15. Diego Vidaurre & Concha Bielza & Pedro Larrañaga, 2013. "A Survey of L 1 Regression," International Statistical Review, International Statistical Institute, vol. 81(3), pages 361-387, December.

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