Spike-and-slab priors for function selection in structured additive regression models
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Publication:4904729
DOI10.1080/01621459.2012.737742zbMATH Open1258.62082arXiv1105.5250OpenAlexW3101032515MaRDI QIDQ4904729FDOQ4904729
Authors: Fabian Scheipl, Ludwig Fahrmeir, Thomas Kneib 
Publication date: 31 January 2013
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: Structured additive regression provides a general framework for complex Gaussian and non-Gaussian regression models, with predictors comprising arbitrary combinations of nonlinear functions and surfaces, spatial effects, varying coefficients, random effects and further regression terms. The large flexibility of structured additive regression makes function selection a challenging and important task, aiming at (1) selecting the relevant covariates, (2) choosing an appropriate and parsimonious representation of the impact of covariates on the predictor and (3) determining the required interactions. We propose a spike-and-slab prior structure for function selection that allows to include or exclude single coefficients as well as blocks of coefficients representing specific model terms. A novel multiplicative parameter expansion is required to obtain good mixing and convergence properties in a Markov chain Monte Carlo simulation approach and is shown to induce desirable shrinkage properties. In simulation studies and with (real) benchmark classification data, we investigate sensitivity to hyperparameter settings and compare performance to competitors. The flexibility and applicability of our approach are demonstrated in an additive piecewise exponential model with time-varying effects for right-censored survival times of intensive care patients with sepsis. Geoadditive and additive mixed logit model applications are discussed in an extensive appendix.
Full work available at URL: https://arxiv.org/abs/1105.5250
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Cited In (43)
- Bayesian additive machine: classification with a semiparametric discriminant function
- Bayesian effect fusion for categorical predictors
- Bayesian curve fitting and clustering with Dirichlet process mixture models for microarray data
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