Bayes variable selection in semiparametric linear models

DOI10.1080/01621459.2014.881153MaRDI QIDQ4975362zbMATH OpenOpenAlexWikidataFDO

Authors Suprateek Kundu, David Dunson

Publication date 4 August 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1108.2722, http://europepmc.org/articles/pmc4111209

zbMATH Keywords

\(g\)-priorasymptotic theoryBayes' factorlarge \(p\)model selectionposterior consistencysmall \(n\)stochastic search variable selectionsubset selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Nonparametric estimation (62G05) Linear regression; mixed models (62J05)

Abstract: There is a rich literature proposing methods and establishing asymptotic properties of Bayesian variable selection methods for parametric models, with a particular focus on the normal linear regression model and an increasing emphasis on settings in which the number of candidate predictors ($p$) diverges with sample size ($n$). Our focus is on generalizing methods and asymptotic theory established for mixtures of $g$-priors to semiparametric linear regression models having unknown residual densities. Using a Dirichlet process location mixture for the residual density, we propose a semiparametric $g$-prior which incorporates an unknown matrix of cluster allocation indicators. For this class of priors, posterior computation can proceed via a straightforward stochastic search variable selection algorithm. In addition, Bayes factor and variable selection consistency is shown to result under various cases including proper and improper priors on $g$ and $p>n$, with the models under comparison restricted to have model dimensions diverging at a rate less than $n$.

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Cited in

(26)

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• Distributed Bayesian posterior voting strategy for massive data
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• Tractable Bayesian variable selection: beyond normality
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• Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
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• Semiparametric Bayesian Analysis of Selection Models
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains
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• Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach
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• Bayesian adaptive variable selection with a generalized g-prior
• Penalized maximum likelihood estimation with nonparametric Gaussian scale mixture errors

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