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Lasso regression: estimation and shrinkage via the limit of Gibbs sampling

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  • Bala Rajaratnam
  • Steven Roberts
  • Doug Sparks
  • Onkar Dalal

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  • Bala Rajaratnam & Steven Roberts & Doug Sparks & Onkar Dalal, 2016. "Lasso regression: estimation and shrinkage via the limit of Gibbs sampling," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 153-174, January.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:1:p:153-174
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    File URL: http://hdl.handle.net/10.1111/rssb.12106
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    References listed on IDEAS

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    1. Park, Trevor & Casella, George, 2008. "The Bayesian Lasso," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 681-686, June.
    2. Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
    3. Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
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    Cited by:

    1. Auer, Benjamin R. & Schuhmacher, Frank & Niemann, Sebastian, 2023. "Cloning mutual fund returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 31-37.

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