Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective

Abstract

Selecting a subset of variables for linear models remains an active area of research. This paper reviews many of the recent contributions to the Bayesian model selection and shrinkage prior literature. A posterior variable selection summary is proposed, which distills a full posterior distribution over regression coefficients into a sequence of sparse linear predictors.

30 pages, 6 figures, 2 tables