21 research outputs found
Selection of tuning parameters in bridge regression models via Bayesian information criterion
We consider the bridge linear regression modeling, which can produce a sparse
or non-sparse model. A crucial point in the model building process is the
selection of adjusted parameters including a regularization parameter and a
tuning parameter in bridge regression models. The choice of the adjusted
parameters can be viewed as a model selection and evaluation problem. We
propose a model selection criterion for evaluating bridge regression models in
terms of Bayesian approach. This selection criterion enables us to select the
adjusted parameters objectively. We investigate the effectiveness of our
proposed modeling strategy through some numerical examples.Comment: 20 pages, 5 figure