Sparse estimation of linear model via Bayesian method $$^*$$ ∗
Author
Abstract
Suggested Citation
DOI: 10.1007/s00180-024-01474-5
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Carlos M. Carvalho & Nicholas G. Polson & James G. Scott, 2010. "The horseshoe estimator for sparse signals," Biometrika, Biometrika Trust, vol. 97(2), pages 465-480.
- Bai, Ray & Ghosh, Malay, 2018. "High-dimensional multivariate posterior consistency under global–local shrinkage priors," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 157-170.
- Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
- Anindya Bhadra & Jyotishka Datta & Nicholas G. Polson & Brandon Willard, 2016. "Default Bayesian analysis with global-local shrinkage priors," Biometrika, Biometrika Trust, vol. 103(4), pages 955-969.
- Olcay Arslan, 2010. "An alternative multivariate skew Laplace distribution: properties and estimation," Statistical Papers, Springer, vol. 51(4), pages 865-887, December.
- Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
- Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Anindya Bhadra & Jyotishka Datta & Nicholas G. Polson & Brandon T. Willard, 2021. "The Horseshoe-Like Regularization for Feature Subset Selection," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 185-214, May.
- Ander Wilson & Brian J. Reich, 2014. "Confounder selection via penalized credible regions," Biometrics, The International Biometric Society, vol. 70(4), pages 852-861, December.
- Posch, Konstantin & Arbeiter, Maximilian & Pilz, Juergen, 2020. "A novel Bayesian approach for variable selection in linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- van Erp, Sara & Oberski, Daniel L. & Mulder, Joris, 2018. "Shrinkage priors for Bayesian penalized regression," OSF Preprints cg8fq, Center for Open Science.
- repec:osf:osfxxx:cg8fq_v1 is not listed on IDEAS
- Sakae Oya, 2022. "A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 507-526, September.
- Bai, Ray & Ghosh, Malay, 2018. "High-dimensional multivariate posterior consistency under global–local shrinkage priors," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 157-170.
- Matthew Gentzkow & Bryan T. Kelly & Matt Taddy, 2017. "Text as Data," NBER Working Papers 23276, National Bureau of Economic Research, Inc.
- Michael Bergrab & Christian Aßmann, 2024. "Automated Bayesian variable selection methods for binary regression models with missing covariate data," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 18(2), pages 203-244, June.
- Tutz, Gerhard & Pößnecker, Wolfgang & Uhlmann, Lorenz, 2015. "Variable selection in general multinomial logit models," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 207-222.
- Mkhadri, Abdallah & Ouhourane, Mohamed, 2013. "An extended variable inclusion and shrinkage algorithm for correlated variables," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 631-644.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2025.
"Specification Choices in Quantile Regression for Empirical Macroeconomics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 57-73, January.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Specification Choices in Quantile Regression for Empirical Macroeconomics," Working Papers 22-25, Federal Reserve Bank of Cleveland.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2024. "Specification Choices in Quantile Regression for Empirical Macroeconomics," CEPR Discussion Papers 18901, C.E.P.R. Discussion Papers.
- Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024.
"Daily growth at risk: Financial or real drivers? The answer is not always the same,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 762-776.
- Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2022. ""Daily Growth at Risk: financial or real drivers? The answer is not always the same"," IREA Working Papers 202208, University of Barcelona, Research Institute of Applied Economics, revised Jun 2022.
- Christopher J Greenwood & George J Youssef & Primrose Letcher & Jacqui A Macdonald & Lauryn J Hagg & Ann Sanson & Jenn Mcintosh & Delyse M Hutchinson & John W Toumbourou & Matthew Fuller-Tyszkiewicz &, 2020. "A comparison of penalised regression methods for informing the selection of predictive markers," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-14, November.
- Norman R. Swanson & Weiqi Xiong, 2018.
"Big data analytics in economics: What have we learned so far, and where should we go from here?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
- Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
- Umberto Amato & Anestis Antoniadis & Italia De Feis & Irene Gijbels, 2021. "Penalised robust estimators for sparse and high-dimensional linear models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 1-48, March.
- Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
- repec:jss:jstsof:33:i01 is not listed on IDEAS
- Bartosz Uniejewski, 2024.
"Regularization for electricity price forecasting,"
Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(3), pages 267-286.
- Bartosz Uniejewski, 2024. "Regularization for electricity price forecasting," Papers 2404.03968, arXiv.org.
- Peter Bühlmann & Jacopo Mandozzi, 2014. "High-dimensional variable screening and bias in subsequent inference, with an empirical comparison," Computational Statistics, Springer, vol. 29(3), pages 407-430, June.
- Capanu, Marinela & Giurcanu, Mihai & Begg, Colin B. & Gönen, Mithat, 2023. "Subsampling based variable selection for generalized linear models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
- Yu-Min Yen, 2010. "A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms," Papers 1005.5082, arXiv.org, revised Sep 2013.
More about this item
Keywords
High-dimensional; Variable selection; Threshold rules; Spikeslab package;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:39:y:2024:i:4:d:10.1007_s00180-024-01474-5. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.