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Regularization and variable selection via the elastic net
Grouping effect LARS algorithm Lasso Penalization p>n problem Variable selection
2015/8/21
We propose the elastic net, a new regularization and variable selection method. Real world data and a simulation study show that the elastic net often outperforms the lasso, while enjoying a similar s...
Robust Bayesian variable selection with sub-harmonic priors
Bayes factor Bayesian variable selection fully Bayes method model selection consistency
2010/12/15
This paper studies Bayesian variable selection in linear models with spherically symmetric error distributions. We give a series of proper prior distributions which converge in a certain sense to an i...