The reciprocal Bayesian LASSO.

  title={The reciprocal Bayesian LASSO.},
  author={Himel Mallick and Rahim Alhamzawi and Vladimir Svetnik},
  journal={Statistics in medicine},
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 selection relative to traditional shrinkage methods. Here we consider a fully Bayesian formulation of the rLASSO problem, which is based on the observation that the rLASSO estimate for linear regression parameters can be interpreted as a Bayesian posterior mode… Expand
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