We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression … hierarchical Bayesian interpretation of the Lasso. Our formulation also permits prediction using a model averaging strategy. We …

estimators. Furthermore, we consider an adaptive lasso penalized variable selection method and establish its oracle property …

The adaptive lasso is a model selection method shown to be both consistent in variable selection and asymptotically … normal in coefficient estimation. The actual variable selection performance of the adaptive lasso depends on the weight used …. It turns out that the weight assignment using the OLS estimate (OLS-adaptive lasso) can result in very poor performance …