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August 2019 Lasso Meets Horseshoe: A Survey
Anindya Bhadra, Jyotishka Datta, Nicholas G. Polson, Brandon Willard
Statist. Sci. 34(3): 405-427 (August 2019). DOI: 10.1214/19-STS700

Abstract

The goal of this paper is to contrast and survey the major advances in two of the most commonly used high-dimensional techniques, namely, the Lasso and horseshoe regularization. Lasso is a gold standard for predictor selection while horseshoe is a state-of-the-art Bayesian estimator for sparse signals. Lasso is fast and scalable and uses convex optimization whilst the horseshoe is nonconvex. Our novel perspective focuses on three aspects: (i) theoretical optimality in high-dimensional inference for the Gaussian sparse model and beyond, (ii) efficiency and scalability of computation and (iii) methodological development and performance.

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Anindya Bhadra. Jyotishka Datta. Nicholas G. Polson. Brandon Willard. "Lasso Meets Horseshoe: A Survey." Statist. Sci. 34 (3) 405 - 427, August 2019. https://doi.org/10.1214/19-STS700

Information

Published: August 2019
First available in Project Euclid: 11 October 2019

zbMATH: 07162130
MathSciNet: MR4017521
Digital Object Identifier: 10.1214/19-STS700

Rights: Copyright © 2019 Institute of Mathematical Statistics

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Vol.34 • No. 3 • August 2019
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