The Spike-and-Slab LASSO

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Authors Veronika Rocková, Edward I. George
Journal/Conference Name Journal of the American Statistical Association
Paper Category
Paper Abstract AbstractDespite the wide adoption of spike-and-slab methodology for Bayesian variable selection, its potential for penalized likelihood estimation has largely been overlooked. In this paper, we bridge this gap by cross-fertilizing these two paradigms with the Spike-and-Slab LASSO procedure for variable selection and parameter estimation in linear regression. We introduce a new class of self-adaptive penalty functions that arise from a fully Bayes spike-and-slab formulation, ultimately moving beyond the separable penalty framework. A virtue of these non-separable penalties is their ability to borrow strength across coordinates, adapt to ensemble sparsity information and exert multiplicity adjustment. The Spike-and-Slab LASSO procedure harvests efficient coordinate-wise implementations with a path-following scheme for dynamic posterior exploration. We show on simulated data that the fully Bayes penalty mimics oracle performance, providing a viable alternative to cross-validation. We develop theory for the s...
Date of publication 2018
Code Programming Language R

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