Multivariate normal data with Bayesian Lasso to do variable selection

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I would recommend you to take a look at https://avehtari.github.io/modelselection/winequality-red.html, which is a more modern approach to variable/model selection from @avehtari https://github.com/avehtari/modelselection

I have not seen a pymc3 port of the wine quality example, but it should be straightforward for the Horseshoe prior model in the bottom of the post.

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