Department of Statistics

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Event Detail Information

Event Detail Information

DSS: Decoupled Shrinkage and Selection in linear models

Speaker Richard Hahn (University of Chicago Booth School of Business)
Date Apr 4, 2013
Time 4:00 pm - 5:00 pm  
Location 165 Everitt Lab
Sponsor Statistics Department
Phone 3-2167
Event type Seminar
Views 4870
We propose a new variable selection approach from a fully Bayesian decision theory viewpoint. The method draws an explicit distinction between actions and inferences, effectively dealing with the trade-off associated with the competing goals of predictive generalization and interpretability. By decoupling posterior learning from model reporting, our approach creates a flexible framework where continuous shrinkage priors can be used but ``sparse solutions'' can be obtained. The method generalizes straightforwardly to the GLM setting.
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