Suppose I want to answer the following question: Rank the explanatory variables from most important to least important.
I want to do the following: Pick lambda from largest to small, and report in a table : when lambda is 100, 80, 60, 40, 20, 10, the explanatory variables are such and such and their loading are such and such.
1.Is it legal to do this? Each lambda represent a Laplace prior, reporting multiple lambda values would be equivalent to have multiple priors. It seems weird we can have multiple priors. 2.If it is not legal, what method should I use to answer my original question.