A Bayesian mixture of Lasso regressions with \(t\)-errors

DOI10.1016/j.csda.2014.03.018zbMath1506.62050arXiv1205.4955OpenAlexW2164075832MaRDI QIDQ1623580

Ajay Jasra, Giovanni Montana, Alberto Cozzini, Adam Persing

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4955

zbMATH Keywords

variable selectionparticle Markov chain Monte Carlomixture of regressions

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

Variable selection in finite mixture of regression models with an unknown number of components ⋮ A hierarchical Bayesian approach for examining heterogeneity in choice decisions

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