High-dimensional Bayesian inference in nonparametric additive models

DOI10.1214/14-EJS963zbMATH Open1348.62171arXiv1307.0056OpenAlexW2963377800MaRDI QIDQ485930FDOQ485930

Authors: Zuofeng Shang, Ping Li 

Publication date: 14 January 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: A fully Bayesian approach is proposed for ultrahigh-dimensional nonparametric additive models in which the number of additive components may be larger than the sample size, though ideally the true model is believed to include only a small number of components. Bayesian approaches can conduct stochastic model search and fulfill flexible parameter estimation by stochastic draws. The theory shows that the proposed model selection method has satisfactory properties. For instance, when the hyperparameter associated with the model prior is correctly specified, the true model has posterior probability approaching one as the sample size goes to infinity; when this hyperparameter is incorrectly specified, the selected model is still acceptable since asymptotically it is proved to be nested in the true model. To enhance model flexibility, two new $g$-priors are proposed and their theoretical performance is examined. We also propose an efficient MCMC algorithm to handle the computational issues. Several simulation examples are provided to demonstrate the computational advantages of our method.

Full work available at URL: https://arxiv.org/abs/1307.0056

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zbMATH Keywords

reversible jump MCMCposterior model consistencygeneralized hyper-\(g\) priorgeneralized Zellner-Siow priorBayesian group selectionnonparametric additive modelsize-control priorultrahigh-dimensionality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Parametric tolerance and confidence regions (62F25)

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Cited In (12)

• Semiparametric Bayesian information criterion for model selection in ultra-high dimensional additive models
• Statistical inference in sparse high-dimensional additive models
• Bayesian additive adaptive basis tensor product models for modeling high dimensional surfaces: an application to high‐throughput toxicity testing
• Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models
• On some recent advances on high dimensional Bayesian statistics
• Uncertainty Quantification for High-Dimensional Sparse Nonparametric Additive Models
• On numerical aspects of Bayesian model selection in high and ultrahigh-dimensional settings
• Inference of gene regulatory networks using Bayesian nonparametric regression and topology information
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Uses Software

• BayesDA
• hgam

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