Consistent High-Dimensional Bayesian Variable Selection via Penalized Credible Regions

Grants

Funding Acknowledgements

Howard D. Bondell is Associate Professor (E-mail: bondell@stat.ncsu.edu) and Brian J. Reich is Associate Professor (E-mail: brian_reich@ncsu.edu), Department of Statistics, North Carolina State University, Raleigh, NC 27695. The authors are grateful to the editor, an associate editor, and three anonymous referees for their valuable comments. Bondell's research was partially supported by an NSF grant DMS 1005612 and NIH grants P01-CA-142538-01 and R01-MH-084022-01. Reich's research was partially supported by an NIH grant R01-ES-014843-02. The authors thank Gareth James for providing the DASSO code for the Dantzig selector.