Leng, Chenlei; Tran, Minh-Ngoc; Nott, David - In: Annals of the Institute of Statistical Mathematics 66 (2014) 2, pp. 221-244
We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression. The BaLasso is adaptive to the signal level by adopting different shrinkage for different coefficients. Furthermore, we provide a model selection machinery for the BaLasso by...