Bayesian effect fusion for categorical predictors
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Publication:1738136
DOI10.1214/18-BA1096zbMATH Open1416.62224arXiv1703.10245WikidataQ129802140 ScholiaQ129802140MaRDI QIDQ1738136FDOQ1738136
Publication date: 29 March 2019
Published in: Bayesian Analysis (Search for Journal in Brave)
Abstract: In this paper, we propose a Bayesian approach to obtain a sparse representation of the effect of a categorical predictor in regression type models. As the effect of a categorical predictor is captured by a group of level effects, sparsity cannot only be achieved by excluding single irrelevant level effects but also by excluding the whole group of effects associated to a predictor or by fusing levels which have essentially the same effect on the response. To achieve this goal, we propose a prior which allows for almost perfect as well as almost zero dependence between level effects a priori. We show how this prior can be obtained by specifying spike and slab prior distributions on all effect differences associated to one categorical predictor and how restricted fusion can be implemented. An efficient MCMC method for posterior computation is developed. The performance of the proposed method is investigated on simulated data. Finally, we illustrate its application on real data from EU-SILC.
Full work available at URL: https://arxiv.org/abs/1703.10245
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Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)
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Cited In (8)
- Variable Selection in the Presence of Factors: A Model Selection Perspective
- Calibration procedures for approximate Bayesian credible sets
- The LASSO on latent indices for regression modeling with ordinal categorical predictors
- Bayesian effect fusion for categorical predictors
- A Bayesian mixture model for changepoint estimation using ordinal predictors
- Handling categorical features with many levels using a product partition model
- Effect fusion using model-based clustering
- Random effects clustering in multilevel modeling: choosing a proper partition
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