Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective

P. Richard Hahn and Carlos M. Carvalho

Journal of the American Statistical Association, 2015, vol. 110, issue 509, 435-448

Abstract: Selecting a subset of variables for linear models remains an active area of research. This article reviews many of the recent contributions to the Bayesian model selection and shrinkage prior literature. A posterior variable selection summary is proposed, which distills a full posterior distribution over regression coefficients into a sequence of sparse linear predictors.

Date: 2015
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Citations: View citations in EconPapers (21)

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DOI: 10.1080/01621459.2014.993077

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