Mostrar el registro sencillo del ítem

A Hierarchical Bayesian Framework for Constructing Sparsity-inducing Priors

hal.structure.identifierDepartment of Statistics [Oxford]
dc.contributor.authorLEE, Anthony
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorCARON, Francois
hal.structure.identifierDept of Statistics & Dept of Computer Science
dc.contributor.authorDOUCET, Arnaud
hal.structure.identifierDepartment of Statistics [Oxford]
dc.contributor.authorHOLMES, Chris
dc.date.created2010-09-09
dc.date.issued2010-09
dc.description.abstractEnVariable selection techniques have become increasingly popular amongst statisticians due to an increased number of regression and classification applications involving high-dimensional data where we expect some predictors to be unimportant. In this context, Bayesian variable selection techniques involving Markov chain Monte Carlo exploration of the posterior distribution over models can be prohibitively computationally expensive and so there has been attention paid to quasi-Bayesian approaches such as maximum a posteriori (MAP) estimation using priors that induce sparsity in such estimates. We focus on this latter approach, expanding on the hierarchies proposed to date to provide a Bayesian interpretation and generalization of state-of-the-art penalized optimization approaches and providing simultaneously a natural way to include prior information about parameters within this framework. We give examples of how to use this hierarchy to compute MAP estimates for linear and logistic regression as well as sparse precision-matrix estimates in Gaussian graphical models. In addition, an adaptive group lasso method is derived using the framework.
dc.language.isoen
dc.title.enA Hierarchical Bayesian Framework for Constructing Sparsity-inducing Priors
dc.typeRapport
dc.subject.halStatistiques [stat]/Méthodologie [stat.ME]
dc.subject.halStatistiques [stat]/Calcul [stat.CO]
dc.identifier.arxiv1009.1914
bordeaux.type.reportrr
hal.identifierinria-00518430
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//inria-00518430v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2010-09&rft.au=LEE,%20Anthony&CARON,%20Francois&DOUCET,%20Arnaud&HOLMES,%20Chris&rft.genre=unknown


Archivos en el ítem

ArchivosTamañoFormatoVer

No hay archivos asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem