Spikeslab: Prediction and variable selection using spike and slab regression

Hemant Ishwaran, Udaya B. Kogalur, J. Sunil Rao

Research output: Contribution to journalArticle

16 Scopus citations

Abstract

Weighted generalized ridge regression offers unique advantages in correlated highdimensional problems. Such estimators can be efficiently computed using Bayesian spike and slab models and are effective for prediction. For sparse variable selection, a generalization of the elastic net can be used in tandem with these Bayesian estimates. In this article, we describe the R-software package spikeslab for implementing this new spike and slabprediction and variable selection methodology.

Original languageEnglish (US)
Pages (from-to)68-73
Number of pages6
JournalR Journal
Volume2
Issue number2
DOIs
StatePublished - Jan 1 2010

ASJC Scopus subject areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty

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