Simultaneous variable and covariance selection with the multivariate spike-and-slab LASSO

Published in Journal of Computational and Graphical Statistics ,2019

Recommended citation: Deshpande, S.K., Rockova, V., and George, E.I. (2019). "Simultaneous variable and covariance selection with the multivariate spike-and-slab LASSO." Journal of Computational and Graphical Statistics.

Abstract : We propose a Bayesian procedure for simultaneous variable and covariance selection using continuous spike-and-slab priors in multivariate linear regression models where q possibly correlated responses are regressed onto p predictors. Rather than relying on a stochastic search through the high-dimensional model space, we develop an ECM algorithm similar to the EMVS procedure of Rockova and George targeting modal estimates of the matrix of regression coefficients and residual precision matrix. Varying the scale of the continuous spike densities facilitates dynamic posterior exploration and allows us to filter out negligible regression coefficients and partial covariances gradually. Our method is seen to substantially outperform regularization competitors on simulated data. We demonstrate our method with a re-examination of data from a recent observational study of the effect of playing high school football on several later-life cognition, psychological, and socio-economic outcomes. An R package implementing this method is available here.

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