Scalable Importance Tempering and Bayesian Variable Selection

DOI10.1111/rssb.12316zbMath1420.62059arXiv1805.00541OpenAlexW3102137642WikidataQ128137183 ScholiaQ128137183MaRDI QIDQ5234410

Gareth O. Roberts, Giacomo Zanella

Publication date: 26 September 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.00541

zbMATH Keywords

computational complexityimportance samplingGibbs samplingBayesian variable selectionMarkov chain Monte Carlo samplingpoint mass priors

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Applications of statistics to physics (62P35) Statistical ranking and selection procedures (62F07)

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Projective inference in high-dimensional problems: prediction and feature selection ⋮ Additive Bayesian variable selection under censoring and misspecification ⋮ Reversible Jump PDMP Samplers for Variable Selection ⋮ An adaptive MCMC method for Bayesian variable selection in logistic and accelerated failure time regression models ⋮ Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection ⋮ Sticky PDMP samplers for sparse and local inference problems

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