From the Super Mario Wiki
Lantern Ghosts are lantern-carrying specters that closely resemble Shy Guys. Despite hating the light and loving the dark, Lantern Ghosts can never be found without a lit lantern.
Several Lantern Ghosts appear in the basement of Horror Condo in Mario Party Advance. They are a part of a Toad Force V fan club known as the TFV Fan Club. Lantern Ghosts were also referenced in Super Princess Peach, whose King Boo battle (as well as the background of Shriek Mansion's map) featured lightposts clearly modeled after Lantern Ghosts.
There is a possibility that the light in the lantern is a Li'l Sparky, as it was in Paper Mario where the Big Lantern Ghost carried a Li'l Sparky named Watt in his lantern. Lantern Ghosts look similar to Peepas, sharing the same look and floating instead of walking.
Notable Lantern Ghosts
Names in other languages