Regression Modeling Via T-Lasso Bayesian Method

Choosing the optimal model is one of the important issues in regression models. The purpose of optimal model selection methods in regression models is to determine important explanatory variables and negligible variables and to express the relationship between response variable and explanatory variables more simply. Due to the limitations of classical variable selection processes such as stepwise selection, penalized regression methods can be used. One of the penalized regression models is Lasso regression in which the errors are assumed to follow a normal distribution. For statistical analysis of the data set in the presence of outlier observations, the student’s t distribution for error can be used and robust estimators can be provided. In this article, a variable selection method called Bayesian T-Lasso regression model is proposed based on Lasso Bayesian regression model in the presence of outlier observations in the data. The Bayesian T-Lasso regression model is presented with two different representations of the Laplace density function for the regression model coefficients, At the first the Laplace density function is represented as a scale mixture of normal distribution and then a scale mixture of uniform distribution. We demonstrate the utility of our Bayesian T-Lasso regression using simulation methods and real data analysis.