The Spike-and-Slab LASSO

Despite the wide adoption of spike-and-slab methodology for Bayesian variable selection, its potential for penalized likelihood estimation has largely been overlooked. In this paper, we bridge this gap by cross-fertilizing these two paradigms with the <i>Spike-and-Slab LASSO</i> procedure for variable selection and parameter estimation in linear regression. We introduce a new class of self-adaptive penalty functions that arise from a fully Bayes spike-and-slab formulation, ultimately moving beyond the separable penalty framework. A virtue of these non-separable penalties is their ability to borrow strength across coordinates, adapt to ensemble sparsity information and exert multiplicity adjustment. The <i>Spike-and-Slab LASSO</i> procedure harvests efficient coordinate-wise implementations with a path-following scheme for dynamic posterior exploration. We show on simulated data that the fully Bayes penalty mimics oracle performance, providing a viable alternative to cross-validation. We develop theory for the separable and non-separable variants of the penalty, showing rate-optimality of the global mode as well as optimal posterior concentration when <i>p</i> &gt; <i>n</i>.