相关论文: Bayesian MI-LASSO for Variable Selection on Multip…

We propose a computationally intensive method, the random lasso method, for variable selection in linear models. The method consists of two major steps. In step 1, the lasso method is applied to many bootstrap samples, each using a set of…

Linear mixed effects models are widely used in statistical modelling. We consider a mixed effects model with Bayesian variable selection in the random effects using spike-and-slab priors and developed a variational Bayes inference scheme…

Longitudinal studies are frequently used in medical research and involve collecting repeated measures on individuals over time. Observations from the same individual are invariably correlated and thus an analytic approach that accounts for…

When variable selection methods are applied to bootstrapped and multiply imputed datasets, the set of selected variables typically varies across iterations. Aggregating results via the union rule can lead to overly dense models. We propose…

In the popular approach of "Bayesian variable selection" (BVS), one uses prior and posterior distributions to select a subset of candidate variables to enter the model. A completely new direction will be considered here to study BVS with a…

Variable selection in Gaussian processes (GPs) is typically undertaken by thresholding the inverse lengthscales of automatic relevance determination kernels, but in high-dimensional datasets this approach can be unreliable. A more…

Variable selection in the linear regression model takes many apparent faces from both frequentist and Bayesian standpoints. In this paper we introduce a variable selection method referred to as a rescaled spike and slab model. We study the…

A reciprocal LASSO (rLASSO) regularization employs a decreasing penalty function as opposed to conventional penalization approaches that use increasing penalties on the coefficients, leading to stronger parsimony and superior model…

High-dimensional feature selection arises in many areas of modern science. For example, in genomic research we want to find the genes that can be used to separate tissues of different classes (e.g. cancer and normal) from tens of thousands…

We propose a novel Bayesian approach to the problem of variable selection in multiple linear regression models. In particular, we present a hierarchical setting which allows for direct specification of a-priori beliefs about the number of…

Spike-and-slab and horseshoe regression are arguably the most popular Bayesian variable selection approaches for linear regression models. However, their performance can deteriorate if outliers and heteroskedasticity are present in the…

In this work, we developed a new Bayesian method for variable selection in function-on-scalar regression (FOSR). Our method uses a hierarchical Bayesian structure and latent variables to enable an adaptive covariate selection process for…

We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…

We propose a general method for distributed Bayesian model choice, using the marginal likelihood, where a data set is split in non-overlapping subsets. These subsets are only accessed locally by individual workers and no data is shared…

We propose a general algorithmic framework for Bayesian model selection. A spike-and-slab Laplacian prior is introduced to model the underlying structural assumption. Using the notion of effective resistance, we derive an EM-type algorithm…

Missing data are present in most real world problems and need careful handling to preserve the prediction accuracy and statistical consistency in the downstream analysis. As the gold standard of handling missing data, multiple imputation…

In exciting new work, Bertsimas et al. (2016) showed that the classical best subset selection problem in regression modeling can be formulated as a mixed integer optimization (MIO) problem. Using recent advances in MIO algorithms, they…

Multiple imputation is a common approach for dealing with missing values in statistical databases. The imputer fills in missing values with draws from predictive models estimated from the observed data, resulting in multiple, completed…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

The missing data issue is ubiquitous in health studies. Variable selection in the presence of both missing covariates and outcomes is an important statistical research topic but has been less studied. Existing literature focuses on…