2026/01/23 by Weichang Yu, Khue-Dung Dang
#stat.ME #stat.CO
We develop a fast and accurate grouped penalized credible region approach for variable selection and prediction in Bayesian high-dimensional regression. Most existing Bayesian methods either are subject to high computational costs due to long Markov Chain Monte Carlo runs or yield ambiguous variable selection results due to non-sparse solution output. The penalized credible region framework yields sparse post-processed estimates that facilitates unambiguous grouped variable selection. High estimation accuracy is achieved by shrinking noise from unimportant groups using a grouped global-local shrinkage prior. To ensure computational scalability, we approximate posterior summaries using coordinate ascent variational inference and recast the penalized credible region framework as a convex optimization problem that admits efficient computations. We prove that the resultant post-processed estimators are both parameter-consistent and variable selection consistent in high-dimensional settings. Theory is developed to justify running the coordinate ascent algorithm for at least two cycles. Through extensive simulations, we demonstrate that our proposed method outperforms state-of-the-art methods in grouped variable selection, prediction, and computation time for several common models including ANOVA and nonparametric varying coefficient models.