Grouped variable selection with prior information via the prior group bridge method

2021 ◽  
Vol 14 (2) ◽  
pp. 211-227
Author(s):  
Kai Li ◽  
Meng Mei ◽  
Yuan Jiang
Keyword(s):  
Variable Selection ◽  
Prior Information ◽  
Bridge Method

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 Steady-state priors and Bayesian variable selection in VAR forecasting

2016 ◽  
Vol 20 (5) ◽  
Author(s):  
Dimitrios P. Louzis
Keyword(s):  
Steady State ◽  
Variable Selection ◽  
Prior Information ◽  
Bayesian Variable Selection ◽  
Vector Autoregressions ◽  
Prior Beliefs ◽  
Forecasting Accuracy ◽  
Out Of Sample ◽  
State Of The Economy ◽  
Macroeconomic Time Series

AbstractThis study proposes methods for estimating Bayesian vector autoregressions (VARs) with a (semi-) automatic variable selection and an informative prior on the unconditional mean or steady-state of the system. We show that extant Gibbs sampling methods for Bayesian variable selection can be efficiently extended to incorporate prior beliefs on the steady-state of the economy. Empirical analysis, based on three major US macroeconomic time series, indicates that the out-of-sample forecasting accuracy of a VAR model is considerably improved when it combines both variable selection and steady-state prior information.

An Image Reconstruction System Applied to High Voltage Microscopy

1975 ◽  
Vol 33 ◽  
pp. 292-293
Author(s):  
D. E. Johnson
Keyword(s):  
High Voltage ◽  
Prior Information ◽  
Block Diagram ◽  
Three Dimensional ◽  
Real Space ◽  
Two Dimensional ◽  
Efficient Manner ◽  
Fourier Methods ◽  
Tilt Series ◽  
Methods Of Reconstruction

Increased specimen penetration; the principle advantage of high voltage microscopy, is accompanied by an increased need to utilize information on three dimensional specimen structure available in the form of two dimensional projections (i.e. micrographs). We are engaged in a program to develop methods which allow the maximum use of information contained in a through tilt series of micrographs to determine three dimensional speciman structure.In general, we are dealing with structures lacking in symmetry and with projections available from only a limited span of angles (±60°). For these reasons, we must make maximum use of any prior information available about the specimen. To do this in the most efficient manner, we have concentrated on iterative, real space methods rather than Fourier methods of reconstruction. The particular iterative algorithm we have developed is given in detail in ref. 3. A block diagram of the complete reconstruction system is shown in fig. 1.

Polarity and Variable Selection Heuristics for SAT-Based Anytime MaxSAT

2020 ◽  
Vol 12 (1) ◽  
pp. 17-22
Author(s):  
Alexander Nadel
Keyword(s):  
Variable Selection ◽  
Open Source ◽  
System Description

This paper is a system description of the anytime MaxSAT solver TT-Open-WBO-Inc, which won both of the weighted incomplete tracks of MaxSAT Evaluation 2019. We implemented the recently introduced polarity and variable selection heuristics, TORC and TSB, respectively, in the Open-WBO-Inc-BMO algorithm within the open-source anytime MaxSAT solver Open-WBO-Inc. As a result, the solver is substantially more efficient.

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