Variable selection in the linear regression model takes many apparent faces from both frequentist and Bayesian standpoints. In this paper we introduce a variable selection method referred to as a rescaled spike and slab model. We study the importance of prior hierarchical specifications and draw connections to frequentist generalized ridge regression estimation. Specifically, we study the usefulness of continuous bimodal priors to model hypervariance parameters, and the effect scaling has on the posterior mean through its relationship to penalization. Several model selection strategies, some frequentist and some Bayesian in nature, are developed and studied theoretically. We demonstrate the importance of selective shrinkage for effective variable selection in terms of risk misclassification, and show this is achieved using the posterior from a rescaled spike and slab model. We also show how to verify a procedure’s ability to reduce model uncertainty in finite samples using a specialized forward selection strategy. Using this tool, we illustrate the effectiveness of rescaled spike and slab models in reducing model uncertainty. 1. Introduction. We

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Zellner’s g-prior remains a popular conventional prior for use in Bayesian variable selection, despite several undesirable consistency issues. In this paper, we study mixtures of g-priors as an alternative to default g-priors that resolve many of the problems with the original formulation, while maintaining the computational tractability that has made the g-prior so popular. We present theoretical properties of the mixture g-priors and provide real and simulated examples to compare the mixture formulation with fixed g-priors, Empirical Bayes approaches and other default procedures.

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The last ten years have witnessed the development of sampling frameworks that permit the construction of Markov chains which simultaneously traverse both parameter and model space. In this time substantial methodological progress has been made. In this article we present a survey of the current state of the art and evaluate some of the most recent advances in this field. We also discuss future research perspectives in the context of the drive to develop sampling mechanisms with high degrees of both efficiency and automation. 1

We propose a new stochastic search algorithm for Gaussian graphical models called the mode oriented stochastic search. Our algorithm relies on the existence of a method to accurately and efficiently approximate the marginal likelihood associated with a graphical model when it cannot be computed in closed form. To this end, we develop a new Laplace approximation method to the normalizing constant of a G-Wishart distribution. We show that combining the mode oriented stochastic search with our marginal likelihood estimation method leads to excellent results with respect to other techniques discussed in the literature. We also describe how to perform inference through Bayesian model averaging based on the reduced set of graphical models identified. Finally, we give a novel stochastic search technique for multivariate regression models.

For the problem of model choice in linear regression, we introduce a Bayesian adaptive sampling algorithm (BAS), that samples models without replacement from the space of models. For problems that permit enumeration of all models BAS is guaranteed to enumerate the model space in 2 p iterations where p is the number of potential variables under consideration. For larger problems where sampling is required, we provide conditions under which BAS provides perfect samples without replacement. When the sampling probabilities in the algorithm are the marginal variable inclusion probabilities, BAS may be viewed as sampling models “near ” the median probability model of Barbieri and Berger. As marginal inclusion probabilities are not known in advance we discuss several strategies to estimate adaptively the marginal inclusion probabilities within BAS. We illustrate the performance of the algorithm using simulated and real data and show that BAS can outperform Markov chain Monte Carlo methods. The algorithm is implemented in the R package BAS available at CRAN.

We consider model selection as a decision problem from a predictive perspective. The optimal Bayesian way of handling model uncertainty is to integrate over model space. Model selection can then be seen as point estimation in the model space. We propose a model selection method based on Kullback-Leibler divergence from the predictive distribution of the full model to the predictive distributions of the submodels. The loss of predictive explanatory power is defined as the expectation of this predictive discrepancy. The goal is to find the simplest submodel which has a similar predictive distribution as the full model, that is, the simplest submodel whose loss of explanatory power is acceptable. To compute the expected predictive discrepancy between complex models, for which analytical solutions do not exist, we propose to use predictive distributions obtained via k-fold cross-validation. We compare the performance of the method to posterior probabilities (Bayes factors), deviance information criteria (DIC) and direct maximization of the expected utility via crossvalidation.

Motivated by a climate prediction problem, we consider high dimensional Bayesian regression where the number of covariates is much larger than the number of observations. To reduce the dimension of the covariate, the response is regressed on the principal components obtained from the covariates, and it is argued that the PCA regression is equivalent to the original model in terms of prediction. In the PCA regression setting under the sparsity condition, we examine large sample properties of two different modeling strategies: regression with and without covariate selection. For the regression without covariate selection, we obtain the consistency results of the estimators and posteriors with normal priors with constant and decreasing variances, and James-Stein estimator; for the regression with covariate selection, we obtain convergence rates of Bayesian model averaging (BMA) and median probability model (MPM) estimators, and the posterior with variable selection prior. Based on the large sample properties, we conclude that variable selection is essential in high dimensional Bayesian regression. A simulation study also confirms the conclusion. The methodologies are applied to a climate prediction problem. 1

We focus on Bayesian variable selection in regression models. One challenge is to search the huge model space adequately, while identifying high posterior probability regions. In the past decades, the main focus has been on the use of Markov chain Monte Carlo (MCMC) algorithms for these purposes. In this article, we propose a new computational approach based on sequential Monte Carlo (SMC), which we refer to as particle stochastic search (PSS). We illustrate PSS through applications to linear regression and probit models.