Variable selection using shrinkage priors
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Abstract: Variable selection has received widespread attention over the last decade as we routinely encounter high-throughput datasets in complex biological and environment research. Most Bayesian variable selection methods are restricted to mixture priors having separate components for characterizing the signal and the noise. However, such priors encounter computational issues in high dimensions. This has motivated continuous shrinkage priors, resembling the two-component priors facilitating computation and interpretability. While such priors are widely used for estimating high-dimensional sparse vectors, selecting a subset of variables remains a daunting task. In this article, we propose a general approach for variable selection with shrinkage priors. The presence of very few tuning parameters makes our method attractive in comparison to adhoc thresholding approaches. The applicability of the approach is not limited to continuous shrinkage priors, but can be used along with any shrinkage prior. Theoretical properties for near-collinear design matrices are investigated and the method is shown to have good performance in a wide range of synthetic data examples.
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Cited in
(25)- Structured Shrinkage Priors
- Neuronized Priors for Bayesian Sparse Linear Regression
- Joint Bayesian estimation of voxel activation and inter-regional connectivity in fMRI experiments
- Horseshoe Regularisation for Machine Learning in Complex and Deep Models1
- Shrinkage priors for Bayesian penalized regression
- Nearly optimal Bayesian shrinkage for high-dimensional regression
- Bayesian regression with undirected network predictors with an application to brain connectome data
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- A global-local approach for detecting hotspots in multiple-response regression
- Bayesian tensor response regression with an application to brain activation studies
- Bayesian hierarchical modeling on covariance valued data
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