# lassoblm

## Description

The Bayesian linear regression model object `lassoblm`

specifies the joint prior distribution of the regression coefficients and the disturbance variance (*β*, *σ*^{2}) for implementing *Bayesian lasso regression*
[1]. For *j* = 1,…,`NumPredictors`

, the conditional prior distribution of *β _{j}*|

*σ*

^{2}is the Laplace (double exponential) distribution with a mean of 0 and scale

*σ*

^{2}/

*λ*, where

*λ*is the lasso regularization, or shrinkage, parameter. The prior distribution of

*σ*

^{2}is inverse gamma with shape

*A*and scale

*B*.

The data likelihood is $$\prod _{t=1}^{T}\varphi \left({y}_{t};{x}_{t}\beta ,{\sigma}^{2}\right)},$$ where *ϕ*(*y _{t}*;

*x*,

_{t}β*σ*

^{2}) is the Gaussian probability density evaluated at

*y*with mean

_{t}*x*and variance

_{t}β*σ*

^{2}. The resulting posterior distribution is not analytically tractable. For details on the posterior distribution, see Analytically Tractable Posteriors.

In general, when you create a Bayesian linear regression model object, it specifies the joint prior distribution and characteristics of the linear regression model only. That is, the model object is a template intended for further use. Specifically, to incorporate data into the model for posterior distribution analysis and feature selection, pass the model object and data to the appropriate object function.

## Creation

### Description

creates a Bayesian linear regression model object (`PriorMdl`

= lassoblm(`NumPredictors`

)`PriorMdl`

) composed of `NumPredictors`

predictors and an intercept, and sets the `NumPredictors`

property. The joint prior distribution of (*β*, *σ*^{2}) is appropriate for implementing Bayesian lasso regression [1]. `PriorMdl`

is a template that defines the prior distributions and specifies the values of the lasso regularization parameter *λ* and the dimensionality of *β*.

sets properties (except `PriorMdl`

= lassoblm(`NumPredictors`

,`Name,Value`

)`NumPredictors`

) using name-value pair arguments. Enclose each property name in quotes. For example, `lassoblm(3,'Lambda',0.5)`

specifies a shrinkage of `0.5`

for the three coefficients (not the intercept).

## Properties

## Object Functions

`estimate` | Perform predictor variable selection for Bayesian linear regression models |

`simulate` | Simulate regression coefficients and disturbance variance of Bayesian linear regression model |

`forecast` | Forecast responses of Bayesian linear regression model |

`plot` | Visualize prior and posterior densities of Bayesian linear regression model parameters |

`summarize` | Distribution summary statistics of Bayesian linear regression model for predictor variable selection |

## Examples

## More About

## Tips

`Lambda`

is a tuning parameter. Therefore, perform Bayesian lasso regression using a grid of shrinkage values, and choose the model that best balances a fit criterion and model complexity.For estimation, simulation, and forecasting, MATLAB

^{®}does not standardize predictor data. If the variables in the predictor data have different scales, then specify a shrinkage parameter for each predictor by supplying a numeric vector for`Lambda`

.

## Alternative Functionality

The `bayeslm`

function can create any supported prior model object for Bayesian linear regression.

## References

[1]
Park, T., and G. Casella. "The Bayesian Lasso."
*Journal of the American Statistical Association*. Vol. 103, No. 482,
2008, pp. 681–686.

## Version History

**Introduced in R2018b**