LASSO and Baysian LASSO Regression
Abstract
In this lecture we look at shrinkage and selection estimators based on LASSO regression from a penalized likelihood approach and a Bayesian perspective
Readings: Christensen Chapter 15 C and Hoff Chapter 9
In this lecture we look at lasso regression as a way to perform shrinkage and selection and show how it can be formulated as a Bayesian estimator. This motivates other priors that have desirable shrinkage and selection properties.
Articles: Park & Casella (2008) JASA, Hans (2010) Biometrika
