Structured Sparse Modelling with Hierarchical GP

27 Apr 2017  ·  Danil Kuzin, Olga Isupova, Lyudmila Mihaylova ·

In this paper a new Bayesian model for sparse linear regression with a spatio-temporal structure is proposed. It incorporates the structural assumptions based on a hierarchical Gaussian process prior for spike and slab coefficients. We design an inference algorithm based on Expectation Propagation and evaluate the model over the real data.

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