Bayesian multinomial regression with class-specific predictor selection

DOI10.1214/08-AOAS188MaRDI QIDQ999673zbMATH OpenOpenAlexFDO

Authors Paul Gustafson, Geneviève Lefebvre

Publication date 10 February 2009

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.4208

zbMATH Keywords

Markov chain Monte CarloclassificationBayesian model averagingimage classificationmultinomial modelsforensic glass classificationmicroarray cancer data

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: Consider a multinomial regression model where the response, which indicates a unit's membership in one of several possible unordered classes, is associated with a set of predictor variables. Such models typically involve a matrix of regression coefficients, with the $(j,k)$ element of this matrix modulating the effect of the $k$th predictor on the propensity of the unit to belong to the $j$th class. Thus, a supposition that only a subset of the available predictors are associated with the response corresponds to some of the columns of the coefficient matrix being zero. Under the Bayesian paradigm, the subset of predictors which are associated with the response can be treated as an unknown parameter, leading to typical Bayesian model selection and model averaging procedures. As an alternative, we investigate model selection and averaging, whereby a subset of individual elements of the coefficient matrix are zero. That is, the subset of predictors associated with the propensity to belong to a class varies with the class. We refer to this as class-specific predictor selection. We argue that such a scheme can be attractive on both conceptual and computational grounds.

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Cited in

(5)

• Permuted and augmented stick-breaking Bayesian multinomial regression
• Bayesian variable selection for latent class models
• Bayesian multinomial regression with class-specific predictor selection
• Probabilistic cause-of-disease assignment using case-control diagnostic tests: a latent variable regression approach
• Max-and-smooth: a two-step approach for approximate Bayesian inference in latent Gaussian models

Describes a project that uses

Uses Software

• COSA
• SSS
• UCI

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