Posterior model consistency in variable selection as the model dimension grows

DOI10.1214/14-STS508zbMATH Open1332.62100arXiv1507.08041MaRDI QIDQ254450FDOQ254450

Authors: Elías Moreno, George Casella, F. J. Girón 

Publication date: 8 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Abstract: Most of the consistency analyses of Bayesian procedures for variable selection in regression refer to pairwise consistency, that is, consistency of Bayes factors. However, variable selection in regression is carried out in a given class of regression models where a natural variable selector is the posterior probability of the models. In this paper we analyze the consistency of the posterior model probabilities when the number of potential regressors grows as the sample size grows. The novelty in the posterior model consistency is that it depends not only on the priors for the model parameters through the Bayes factor, but also on the model priors, so that it is a useful tool for choosing priors for both models and model parameters. We have found that some classes of priors typically used in variable selection yield posterior model inconsistency, while mixtures of these priors improve this undesirable behavior. For moderate sample sizes, we evaluate Bayesian pairwise variable selection procedures by comparing their frequentist Type I and II error probabilities. This provides valuable information to discriminate between the priors for the model parameters commonly used for variable selection.

Full work available at URL: https://arxiv.org/abs/1507.08041

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zbMATH Keywords

variable selection\(g\)-priorsBayes factorsBernoulli model priorshierarchical uniform model priorintrinsic priorsposterior model consistencyrate of growth of the number of regressors

Mathematics Subject Classification ID

Bayesian inference (62F15)

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Cited In (22)

• Consistency of Bayes factors under hyper \(g\)-priors with growing model size
• On consistency and optimality of Bayesian variable selection based on \(g\)-prior in normal linear regression models
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• An exact approach to ridge regression for big data
• On posterior consistency in selection models
• Bayesian Model Selection in Additive Partial Linear Models Via Locally Adaptive Splines
• Consistency of objective Bayes factors as the model dimension grows

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