Spike-and-Slab Meets LASSO: A Review of the Spike-and-Slab LASSO
Spike-and-Slab Meets LASSO: A Review of the Spike-and-Slab LASSO
High-dimensional data sets have become ubiquitous in the past few decades, often with many more covariates than observations. In the frequentist setting, penalized likelihood methods are the most popular approach for variable selection and estimation in high-dimensional data. In the Bayesian framework, spike-and-slab methods are commonly used as probabilistic constructs …