Bayesian semiparametric multiple shrinkage.

ABSTRACT: High-dimensional and highly correlated data leading to non- or weakly identified effects are commonplace. Maximum likelihood will typically fail in such situations and a variety of shrinkage methods have been proposed. Standard techniques, such as ridge regression or the lasso, shrink estimates toward zero, with some approaches allowing coefficients to be selected out of the model by achieving a value of zero. When substantive information is available, estimates can be shrunk to nonnull values; however, such information may not be available. We propose a Bayesian semiparametric approach that allows shrinkage to multiple locations. Coefficients are given a mixture of heavy-tailed double exponential priors, with location and scale parameters assigned Dirichlet process hyperpriors to allow gr

SUBMITTER: Maclehose RF 

PROVIDER: S-EPMC3631538 | biostudies-literature | 2010 Jun

REPOSITORIES: biostudies-literature