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Bayesian inference is a method of statistical inference that relies on treating the model parameters as random variables and applying Bayes' theorem to deduce subjective probability statements about the parameters or hypotheses, conditional on the observed dataset.
4
votes
How to use blasso function in R package "monomvn"?
Let's now compare lasso (glmnet package) and Bayesian lasso (monomvn package)
fit.glmnet <- glmnet(as.matrix(x2), y,
lambda=cv.glmnet(as.matrix(x2), y)$lambda.1se)
coef.glmnet … Let's now check Bayesian lasso:
sum(colMedians(lasso$beta[-seq(burnin), ]) == 0)
56
and it shrank 56 out of 64 exactly to 0. …