B0394
Title: Spike-and-slab group lassos for grouped regression and sparse generalized additive models
Authors: Ray Bai - University of South Carolina (United States) [presenting]
Abstract: The spike-and-slab group lasso (SSGL) is introduced for Bayesian estimation, and variable selection in linear regression with grouped variables is introduced. We further extend the SSGL to sparse generalized additive models (GAMs), thereby introducing the first nonparametric variant of the spike-and-slab lasso methodology. The model simultaneously performs group selection and estimation. At the same time, our fully Bayes treatment of the mixture proportion allows for model complexity control and automatic self-adaptivity to different levels of sparsity. We develop theory to uniquely characterize the global posterior mode under the SSGL and introduce a highly efficient block coordinate ascent algorithm for maximum a posteriori (MAP) estimation. We further employ de-biasing methods to provide uncertainty quantification of our estimates. Thus, implementation of our model avoids the computational intensiveness of Markov chain Monte Carlo (MCMC) in high dimensions. We derive posterior concentration rates for both grouped linear regression and sparse GAMs when the number of covariates grows at nearly exponential rate with sample size. Finally, we illustrate our methodology through extensive simulations and data analysis.
