An exact sampler for fully Baysian elastic net

Hai-Bin Wang () and Jian Wang ()
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Hai-Bin Wang: Xiamen University
Jian Wang: Xiamen University

Computational Statistics, 2023, vol. 38, issue 4, No 8, 1734 pages

Abstract: Abstract The elastic net plays an important role in regularization regressions. We develop a new hybrid Gibbs sampler for the fully Bayesian elastic net, in which we make use of the exchange algorithm to draw the penalized parameter from its full conditional posterior with an intractable normalizing constant. A great advantage of the proposed sampler is that it is exact and/or time-saving. Moreover, we consider a novel algorithm to sample the standard deviation of the model error from its full conditional that includes the auxiliary vector no longer. We also incorporate a generalised move step in our approach to improve the convergence further. The performance of the proposed method is demonstrated by four simulated examples and the prostate cancer data, and compared with that of the existing methods.

Keywords: Elastic net; Exchange algorithm; Gibbs sampler; Linear regression (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00180-022-01275-8

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