The Median probability model and correlated variables
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Abstract: The median probability model (MPM) Barbieri and Berger (2004) is defined as the model consisting of those variables whose marginal posterior probability of inclusion is at least 0.5. The MPM rule yields the best single model for prediction in orthogonal and nested correlated designs. This result was originally conceived under a specific class of priors, such as the point mass mixtures of non-informative and g-type priors. The MPM rule, however, has become so very popular that it is now being deployed for a wider variety of priors and under correlated designs, where the properties of MPM are not yet completely understood. The main thrust of this work is to shed light on properties of MPM in these contexts by (a) characterizing situations when MPM is still safe under correlated designs, (b) providing significant generalizations of MPM to a broader class of priors (such as continuous spike-and-slab priors). We also provide new supporting evidence for the suitability of g-priors, as opposed to independent product priors, using new predictive matching arguments. Furthermore, we emphasize the importance of prior model probabilities and highlight the merits of non-uniform prior probability assignments using the notion of model aggregates.
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Cited in
(16)- Variable Selection Via Thompson Sampling
- Robust sparse Bayesian regression for longitudinal gene-environment interactions
- Inference of Multiple High-Dimensional Networks with the Graphical Horseshoe Prior
- Model uncertainty and missing data: an objective Bayesian perspective (with discussion)
- Expressing and visualizing model uncertainty in Bayesian variable selection using Cartesian credible sets
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- Fast Bayesian variable screening using correlation thresholds
- A metropolized adaptive subspace algorithm for high-dimensional Bayesian variable selection
- A cheat sheet for Bayesian prediction
- Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
- Bayesian competing risks survival modeling for assessing the cause of death of patients with heart failure
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- Bayesian iterative screening in ultra-high dimensional linear regressions
- Robust Bayesian high-dimensional variable selection and inference with the horseshoe family of priors
- Bayesian sparse regression for microbiome-metabolite data integration
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