Consistency of Bayesian linear model selection with a growing number of parameters
From MaRDI portal
Abstract: Linear models with a growing number of parameters have been widely used in modern statistics. One important problem about this kind of model is the variable selection issue. Bayesian approaches, which provide a stochastic search of informative variables, have gained popularity. In this paper, we will study the asymptotic properties related to Bayesian model selection when the model dimension is growing with the sample size . We consider and provide sufficient conditions under which: (1) with large probability, the posterior probability of the true model (from which samples are drawn) uniformly dominates the posterior probability of any incorrect models; and (2) with large probability, the posterior probability of the true model converges to one. Both (1) and (2) guarantee that the true model will be selected under a Bayesian framework. We also demonstrate several situations when (1) holds but (2) fails, which illustrates the difference between these two properties. Simulated examples are provided to illustrate the main results.
Recommendations
- Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters
- Bayes factor consistency for nested linear models with a growing number of parameters
- On Model Selection Consistency of Bayesian Method for Normal Linear Models
- Posterior model consistency in variable selection as the model dimension grows
- Consistency of Bayes factors under hyper g-priors with growing model size
Cites work
- An Intrinsic Limiting Procedure for Model Selection and Hypotheses Testing
- Approximations and consistency of Bayes factors as model dimension grows
- Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation
- Bayesian variable selection for high dimensional generalized linear models: convergence rates of the fitted densities
- Benchmark priors for Bayesian model averaging.
- Consistency of Bayes factors for intrinsic priors in normal linear models
- Consistency of Bayesian procedures for variable selection
- Consistency of objective Bayes factors as the model dimension grows
- Consistency of objective Bayes factors for nonnested linear models and increasing model dimension
- Flexible Empirical Bayes Estimation for Wavelets
- Functional concurrent linear regression model for spatial images
- High-dimensional graphs and variable selection with the Lasso
- scientific article; zbMATH DE number 5819433 (Why is no real title available?)
- scientific article; zbMATH DE number 4070082 (Why is no real title available?)
- scientific article; zbMATH DE number 1941665 (Why is no real title available?)
- scientific article; zbMATH DE number 3273020 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- Lasso-type recovery of sparse representations for high-dimensional data
- Mathematical Statistics
- Mixtures of g Priors for Bayesian Variable Selection
- Multiple shrinkage and subset selection in wavelets
- Nonconcave penalized likelihood with a diverging number of parameters.
- Nonparametric regression using Bayesian variable selection
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- The Intrinsic Bayes Factor for Model Selection and Prediction
- The sparsity and bias of the LASSO selection in high-dimensional linear regression
- Variable selection in high-dimensional linear models: partially faithful distributions and the PC-simple algorithm
Cited in
(18)- Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters
- Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection
- Bayes factor asymptotics for variable selection in the Gaussian process framework
- Bayesian joint inference for multiple directed acyclic graphs
- Bayesian bandwidth test and selection for high-dimensional banded precision matrices
- Minimax posterior convergence rates and model selection consistency in high-dimensional DAG models based on sparse Cholesky factors
- Consistency of Bayes factors under hyper g-priors with growing model size
- Necessary and sufficient conditions for high-dimensional posterior consistency under \(g\)-priors
- On Model Selection Consistency of Bayesian Method for Normal Linear Models
- Bayesian high-dimensional screening via MCMC
- High-dimensional Bayesian inference in nonparametric additive models
- On consistency and optimality of Bayesian variable selection based on \(g\)-prior in normal linear regression models
- An approach of Bayesian variable selection for ultrahigh-dimensional multivariate regression
- Bayesian model selection via composite likelihood for high-dimensional data integration
- Posterior model consistency in high-dimensional Bayesian variable selection with arbitrary priors
- Selection consistency of EBIC for GLIM with non-canonical links and diverging number of parameters
- A note on Bayes factor consistency in partial linear models
- Consistency of objective Bayes factors as the model dimension grows
This page was built for publication: Consistency of Bayesian linear model selection with a growing number of parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2276179)
