A study of variable selection using g-prior distribution with ridge parameter

DOI10.1016/J.CSDA.2011.11.017zbMATH Open1368.62190arXiv1102.0470OpenAlexW2049936270WikidataQ58424442 ScholiaQ58424442MaRDI QIDQ434980FDOQ434980

Authors: M. Baragatti, D. Pommeret 

Publication date: 16 July 2012

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

Abstract: In the Bayesian stochastic search variable selection framework, a common prior distribution for the regression coefficients is the g-prior of Zellner (1986). However, there are two standard cases in which the associated covariance matrix does not exist, and the conventional prior of Zellner can not be used: if the number of observations is lower than the number of variables (large p and small n paradigm), or if some variables are linear combinations of others. In such situations a prior distribution derived from the prior of Zellner can be used, by introducing a ridge parameter. This prior introduced by Gupta and Ibrahim (2007) is a flexible and simple adaptation of the g-prior. In this paper we study the influence of the ridge parameter on the selection of variables. A simple way to choose the associated hyper-parameters is proposed. The method is valid for any generalized linear mixed model and we focus on the case of probit mixed models when some variables are linear combinations of others. The method is applied to both simulated and real datasets obtained from Affymetrix microarray experiments. Results are compared to those obtained with the Bayesian Lasso.

Full work available at URL: https://arxiv.org/abs/1102.0470

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zbMATH Keywords

generalized linear mixed modelstochastic search variable selectionBayesian lassoMetropolis-within-Gibbs algorithmprobit mixed regression modelridge parameterZellner prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (14)

• Bayesian functional linear regression with sparse step functions
• Combining a relaxed EM algorithm with Occam's razor for Bayesian variable selection in high-dimensional regression
• Fast Bayesian variable screenings for binary response regressions with small sample size
• Reversible jump Markov chain Monte Carlo algorithms for Bayesian variable selection in logistic mixed models
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• Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression
• A novel Bayesian approach for variable selection in linear regression models
• Wasserstein-based methods for convergence complexity analysis of MCMC with applications
• Bayesian structured variable selection in linear regression models
• A two-component \(G\)-prior for variable selection

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