The Bayesian Lasso

@article{Park2008TheBL,
  title={The Bayesian Lasso},
  author={Trevor H Park and G. Casella},
  journal={Journal of the American Statistical Association},
  year={2008},
  volume={103},
  pages={681 - 686}
}
The Lasso estimate for linear regression parameters can be interpreted as a Bayesian posterior mode estimate when the regression parameters have independent Laplace (i.e., double-exponential) priors. Gibbs sampling from this posterior is possible using an expanded hierarchy with conjugate normal priors for the regression parameters and independent exponential priors on their variances. A connection with the inverse-Gaussian distribution provides tractable full conditional distributions. The… Expand
2,160 Citations

Paper Mentions

Bayesian lasso regression
  • 341
  • PDF
A New Bayesian Lasso.
  • 27
  • Highly Influenced
  • PDF
Priors on the Variance in Sparse Bayesian Learning; the demi-Bayesian Lasso
  • 14
  • Highly Influenced
  • PDF
The Bayesian adaptive lasso regression.
  • 22
Sparsity via new Bayesian Lasso
  • Highly Influenced
Sparse modifying algorithm in Bayesian lasso
  • Ibuki HOSHINAt
  • 2014
High-Dimensional Bayesian Regularised Regression with the BayesReg Package
  • 32
  • Highly Influenced
  • PDF
Robust Bayesian Regularized Estimation Based on Regression Model
  • 1
  • Highly Influenced
  • PDF
Estimation of Stationary Autoregressive Models with the Bayesian LASSO
  • 12
  • PDF
Sparse Bayesian linear regression using generalized normal priors
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 43 REFERENCES
Outlier Models and Prior Distributions in Bayesian Linear Regression
  • 220
Penalized regression, standard errors, and Bayesian lassos
  • 428
  • PDF
Regression Shrinkage and Selection via the Lasso
  • 31,126
  • Highly Influential
  • PDF
Efficient Empirical Bayes Variable Selection and Estimation in Linear Models
  • 196
  • PDF
Flexible empirical Bayes estimation for wavelets
  • 181
  • PDF
APPROACHES FOR BAYESIAN VARIABLE SELECTION
  • 1,131
Variable selection via Gibbs sampling
  • 2,381
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
  • 6,165
  • PDF
Adaptive Sparseness for Supervised Learning
  • 529
  • PDF
...
1
2
3
4
5
...