Bayesian effect selection in structured additive distributional regression models
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Publication:2057331
DOI10.1214/20-BA1214zbMATH Open1480.62058arXiv1902.10446OpenAlexW2964157004MaRDI QIDQ2057331FDOQ2057331
Authors: Nadja Klein, M. Cârlan, Thomas Kneib, Stefan Lang, Helga Wagner 
Publication date: 6 December 2021
Published in: Bayesian Analysis (Search for Journal in Brave)
Abstract: We propose a novel spike and slab prior specification with scaled beta prime marginals for the importance parameters of regression coefficients to allow for general effect selection within the class of structured additive distributional regression. This enables us to model effects on all distributional parameters for arbitrary parametric distributions, and to consider various effect types such as non-linear or spatial effects as well as hierarchical regression structures. Our spike and slab prior relies on a parameter expansion that separates blocks of regression coefficients into overall scalar importance parameters and vectors of standardised coefficients. Hence, we can work with a scalar quantity for effect selection instead of a possibly high-dimensional effect vector, which yields improved shrinkage and sampling performance compared to the classical normal-inverse-gamma prior. We investigate the propriety of the posterior, show that the prior yields desirable shrinkage properties, propose a way of eliciting prior parameters and provide efficient Markov Chain Monte Carlo sampling. Using both simulated and three large-scale data sets, we show that our approach is applicable for data with a potentially large number of covariates, multilevel predictors accounting for hierarchically nested data and non-standard response distributions, such as bivariate normal or zero-inflated Poisson.
Full work available at URL: https://arxiv.org/abs/1902.10446
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penalised splinesprior elicitationparameter expansionscaled beta prime distributionshrinkage properties
Bayesian inference (62F15) Linear regression; mixed models (62J05) Numerical computation using splines (65D07)
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Cited In (13)
- Spike-and-slab priors for function selection in structured additive regression models
- Bayesian effect fusion for categorical predictors
- Effect Selection and Regularization in Structured Additive Distributional Regression
- Bayesian regularization and model choice in structured additive regression
- Structured additive distributional regression for analysing landings per unit effort in fisheries research
- Correcting for sample selection bias in Bayesian distributional regression models
- Boosting multivariate structured additive distributional regression models
- Modular regression -- a Lego system for building structured additive distributional regression models with tensor product interactions
- Bayesian effect selection in structured additive distributional regression models
- Scale-dependent priors for variance parameters in structured additive distributional regression
- A multilevel analysis of real estate valuation using distributional and quantile regression
- Bayesian discrete conditional transformation models
- Bayesian structured additive distributional regression with an application to regional income inequality in Germany
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