Scalable Bayesian Model Averaging Through Local Information Propagation

• 成果类型: Article
• 署名作者: Ma, Li
• 署名单位: Duke University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2014.980908
• 发表日期: 2015
• 页码: 795-809
• 关键词: sequential monte-carlo; variable-selection; stochastic search; priors

摘要

This article shows that a probabilistic version of the classical forward-stepwise variable inclusion procedure can serve as a general data-augmentation scheme for model space distributions in (generalized) linear models. This latent variable representation takes the form of a Markov process, thereby allowing information propagation algorithms to be applied for sampling from model space posteriors. In particular, We propose a sequential Monte Carlo method for achieving effective unbiased Bayesian model averaging in high-dimensional problems, using proposal distributions constructed using local information propagation. The method called LIPS for local information propagation based sampling is illustrated using real and simulated examples with dimensionality ranging from 15 to 1000, and its performance in estimating posterior inclusion probabilities and in out-of-sample prediction is compared to those of several other methods namely, MCMC, BAS, iBMA, and LASSO. In addition, it is shown that the latent variable representation can also serve as a modeling tool for specifying model space priors that account for knowledge regarding model complexity and conditional inclusion relationships. Supplementary materials for this article are available online.