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

model selectionasymptotic theory\(g\)-priorposterior consistencystochastic search variable selectionlarge \(p\)small \(n\)subset selectionBayes' factor

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 $n$.

Recommendations

• scientific article; zbMATH DE number 1264851
• On Model Selection Consistency of Bayesian Method for Normal Linear Models
• Bayesian variable selection with shrinking and diffusing priors
• A mixture of g-priors for variable selection when the number of regressors grows with the sample size
• A variational Bayes approach to variable selection

Cites work

• scientific article; zbMATH DE number 3983087 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A review of Bayesian variable selection methods: what, how and which
• Bayesian variable selection for high dimensional generalized linear models: convergence rates of the fitted densities
• Bayesian variable selection in quantile regression
• Characterizing the variance improvement in linear Dirichlet random effects models
• Consistency of Bayesian procedures for variable selection
• High breakdown-point and high efficiency robust estimates for regression
• Mixtures of g Priors for Bayesian Variable Selection
• Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems
• Needles and straw in a haystack: posterior concentration for possibly sparse sequences
• On a class of Bayesian nonparametric estimates: I. Density estimates
• Posterior consistency in linear models under shrinkage priors
• Regularization and Variable Selection Via the Elastic Net
• Sampling the Dirichlet Mixture Model with Slices
• Sharpening Wald-type inference in robust regression for small samples

Cited in

(25)

• Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
• scientific article; zbMATH DE number 5927243 (Why is no real title available?)
• Efficient Bayesian regularization for graphical model selection
• scientific article; zbMATH DE number 5224911 (Why is no real title available?)
• A Short Note on Almost Sure Convergence of Bayes Factors in the General Set-Up
• Bayesian variable selection for non‐Gaussian responses: a marginally calibrated copula approach
• Bayes factor asymptotics for variable selection in the Gaussian process framework
• Bayesian Regression Analysis of Skewed Tensor Responses
• scientific article; zbMATH DE number 6536957 (Why is no real title available?)
• Robust Bayesian variable selection in linear models with spherically symmetric errors
• Bayesian variable selection and computation for generalized linear models with conjugate priors
• Semiparametric Bayesian Analysis of Selection Models
• Robust Bayesian model averaging for linear regression models with heavy-tailed errors
• Bayesian sparse seemingly unrelated regressions model with variable selection and covariance estimation via the horseshoe+
• Bayesian effect selection in structured additive distributional regression models
• Bayesian adaptive variable selection with a generalized g-prior
• Model-based clustering based on sparse finite Gaussian mixtures
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains
• A variational Bayes approach to variable selection
• Bayesian Approaches to Shrinkage and Sparse Estimation
• Global–local shrinkage multivariate logit-beta priors for multiple response-type data
• Distributed Bayesian posterior voting strategy for massive data
• Bayesian lasso for semiparametric structural equation models
• Penalized maximum likelihood estimation with nonparametric Gaussian scale mixture errors
• Tractable Bayesian variable selection: beyond normality

This page was built for publication: Bayes variable selection in semiparametric linear models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4975362)