Mode jumping MCMC for Bayesian variable selection in GLMM

DOI10.1016/J.CSDA.2018.05.020MaRDI QIDQ1663135zbMATH OpenOpenAlexFDO

Authors Aliaksandr Hubin, Geir Storvik

Publication date 21 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.06398, http://hdl.handle.net/10852/65638

zbMATH Keywords

Bayesian model averagingcombinatorial optimizationgeneralized linear mixed modelsBayesian variable selectionauxiliary variables MCMChigh performance computations

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Abstract: Generalized linear mixed models (GLMM) are used for inference and prediction in a wide range of different applications providing a powerful scientific tool. An increasing number of sources of data are becoming available, introducing a variety of candidate explanatory variables for these models. Selection of an optimal combination of variables is thus becoming crucial. In a Bayesian setting, the posterior distribution of the models, based on the observed data, can be viewed as a relevant measure for the model evidence. The number of possible models increases exponentially in the number of candidate variables. Moreover, the space of models has numerous local extrema in terms of posterior model probabilities. To resolve these issues a novel MCMC algorithm for the search through the model space via efficient mode jumping for GLMMs is introduced. The algorithm is based on that marginal likelihoods can be efficiently calculated within each model. It is recommended that either exact expressions or precise approximations of marginal likelihoods are applied. The suggested algorithm is applied to simulated data, the famous U.S. crime data, protein activity data and epigenetic data and is compared to several existing approaches.

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Cited in

(8)

• Markov chain Monte Carlo with the integrated nested Laplace approximation
• Reversible jump Markov chain Monte Carlo algorithms for Bayesian variable selection in logistic mixed models
• A subsampling approach for Bayesian model selection
• Marginally Calibrated Deep Distributional Regression
• Mode jumping proposals in MCMC
• Default Bayesian model determination methods for generalised linear mixed models
• FBMS
• MCMC for GLMMs

Describes a project that uses

Uses Software

• ESS++
• R-INLA

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