Bayesian selection of best subsets via hybrid search

DOI10.1007/s00180-020-00996-yzbMath1505.62203OpenAlexW3024146002MaRDI QIDQ2667010

Shiqiang Jin, Gyuhyeong Goh

Publication date: 23 November 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-00996-y

zbMATH Keywords

Bayesian variable selectionbest subset selectionhybrid search algorithmhigh-dimensional regression analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Uses Software

• SSS

Cites Work

• Unnamed Item
• Optimization by Simulated Annealing
• Nearly unbiased variable selection under minimax concave penalty
• Best subset selection via a modern optimization lens
• Estimating the dimension of a model
• Extended Bayesian information criteria for model selection with large model spaces
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Bayes Factors
• Bayesian Graphical Models for Discrete Data
• Shotgun Stochastic Search for “Largep” Regression
• Stochastic Approximation in Monte Carlo Computation
• Regularization and Variable Selection Via the Elastic Net
• Bayesian Subset Modeling for High-Dimensional Generalized Linear Models

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