Sparse Regression under Correlation and Weak Signals: A Reproducible Benchmark of Classical and Bayesian Methods

arXiv:2605.00835v1 Announce Type: new Abstract: Choosing between classical and Bayesian sparse regression methods involves a real trade-off: penalized estimators like Lasso run in milliseconds but give no uncertainty estimates,while Horseshoe and Spike-and-Slab priors produce full posteriors but need MCMC chains that take minutes per fit.Surprisingly few studies compare these two families head-to-head under the conditions that actually make sparse regression hard -- correlated features, weak sig...