Bayesian L12 regression

It is well known that Bridge regression Knight et al. (2000) enjoys superior theoretical properties when compared to traditional LASSO. However, the current latent variable representation of its Bayesian counterpart, based on the exponential power prior, is computationally expensive in higher dimensions. In this paper, we show that the Bridge prior has a closed form scale mixture of normal decomposition for α=(12)γ,γ∈{1,2,…}. We call these types of priors L12 prior for short. We develop an efficient partially collapsed Gibbs sampling scheme for computation using the L12 prior and study theoretical properties when <i>p</i> &gt; <i>n</i>. In addition, we introduce a non-separable Bridge penalty function inspired by the fully Bayesian formulation and a novel, efficient coordinate descent algorithm. We prove the algorithm’s convergence and show that the local minimizer from our optimisation algorithm has an oracle property. Finally, simulation studies were carried out to illustrate the performance of the new algorithms. Supplementary materials for this article are available online.