A Comparison of Objective Bayes Factors for Variable Selection in Linear Regression Models

2013 ◽  
pp. 181-189
Author(s):  
Luca La Rocca
Keyword(s):  
Linear Regression ◽  
Variable Selection ◽  
Regression Models ◽  
Bayes Factors ◽  
Linear Regression Models ◽  
Objective Bayes

scholarly journals Stochastic Restricted LASSO-Type Estimator in the Linear Regression Model

2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Manickavasagar Kayanan ◽  
Pushpakanthie Wijekoon
Keyword(s):  
Linear Regression ◽  
Variable Selection ◽  
Regression Models ◽  
Prior Information ◽  
Estimation Procedure ◽  
Regression Coefficients ◽  
Linear Regression Models ◽  
Monte Carlo Simulation Study ◽  
Regression Parameters ◽  
Linear Restrictions

Among several variable selection methods, LASSO is the most desirable estimation procedure for handling regularization and variable selection simultaneously in the high-dimensional linear regression models when multicollinearity exists among the predictor variables. Since LASSO is unstable under high multicollinearity, the elastic-net (Enet) estimator has been used to overcome this issue. According to the literature, the estimation of regression parameters can be improved by adding prior information about regression coefficients to the model, which is available in the form of exact or stochastic linear restrictions. In this article, we proposed a stochastic restricted LASSO-type estimator (SRLASSO) by incorporating stochastic linear restrictions. Furthermore, we compared the performance of SRLASSO with LASSO and Enet in root mean square error (RMSE) criterion and mean absolute prediction error (MAPE) criterion based on a Monte Carlo simulation study. Finally, a real-world example was used to demonstrate the performance of SRLASSO.

scholarly journals Bayesian variable selection in linear regression models with non-normal errors

2018 ◽  
Vol 28 (2) ◽  
pp. 323-358 ◽  
Author(s):  
Saverio Ranciati ◽  
Giuliano Galimberti ◽  
Gabriele Soffritti
Keyword(s):  
Linear Regression ◽  
Variable Selection ◽  
Regression Models ◽  
Bayesian Variable Selection ◽  
Linear Regression Models

scholarly journals A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models

2016 ◽  
Vol 2016 (290) ◽  
Author(s):  
Alexander Chudik ◽  
◽  
George Kapetanios ◽  
M. Hashem Pesaran ◽  
◽  
...  
Keyword(s):  
Linear Regression ◽  
Variable Selection ◽  
Regression Models ◽  
Multiple Testing ◽  
High Dimensional ◽  
Linear Regression Models ◽  
Testing Approach

Variable selection via generalized SELO-penalized linear regression models

2018 ◽  
Vol 33 (2) ◽  
pp. 145-162 ◽  
Author(s):  
Yue-yong Shi ◽  
Yong-xiu Cao ◽  
Ji-chang Yu ◽  
Yu-ling Jiao
Keyword(s):  
Linear Regression ◽  
Variable Selection ◽  
Regression Models ◽  
Linear Regression Models
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