Abstract Details
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Activity Number:
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366
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Type:
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Contributed
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Date/Time:
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Tuesday, August 6, 2013 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Learning and Data Mining
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| Abstract - #309338 |
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Title:
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A Mean Field Variational Bayes to the Selection of Linear Models
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Author(s):
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John Ormerod*+
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Companies:
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Keywords:
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Model selection ;
MCMC ;
LASSO ;
Approximate Bayesian Inference
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Abstract:
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We develop an approach to the selection of linear models using mean field variational Bayes approximations. Theoretical properties of the associated estimators will be discussed, including rates of convergence of the variable inclusion indicators. Empirically these methods are shown to compare favorably with several popular model selection methods both in terms of computational efficiency and model selection performance.
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Authors who are presenting talks have a * after their name.
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