The authors define the Lasso distribution, derive its properties including an inverse-CDF sampler, and use it to build a faster Bayesian lasso Gibbs sampler in the BayesianLasso R package.
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The Lasso Distribution: Properties, Sampling Methods, and Applications in Bayesian Lasso Regression
The authors define the Lasso distribution, derive its properties including an inverse-CDF sampler, and use it to build a faster Bayesian lasso Gibbs sampler in the BayesianLasso R package.