A shared-horseshoe Bayesian pliable lasso shrinks main and interaction effects jointly, enables uncertainty quantification, and handles missing responses via data augmentation.
Q., Zhang, H., and Liang, Y
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Bayesian Pliable Lasso with Horseshoe Prior for Interaction Effects in GLMs with Missing Responses
A shared-horseshoe Bayesian pliable lasso shrinks main and interaction effects jointly, enables uncertainty quantification, and handles missing responses via data augmentation.