Shotgun Stochastic search for Large p regression

• 成果类型: Article
• 署名作者: Hans, Chris; Dobra, Adrian; West, Mike
• 署名单位: University System of Ohio; Ohio State University; University of Washington; University of Washington Seattle; University of Washington; University of Washington Seattle; University of Washington; University of Washington Seattle; Duke University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214507000000121
• 发表日期: 2007
• 页码: 507-516
• 关键词: bayesian variable selection; Graphical Models; breast-cancer; computation

摘要

Model search in regression with very large numbers of candidate predictors raises challenges for both model specification and computation, for which standard approaches such as Markov chain Monte Carlo (MCMC) methods are often infeasible or ineffective. We describe a novel shotgun stochastic search (SSS) approach that explores interesting regions of the resulting high-dimensional model spaces and quickly identifies regions of high posterior probability over models. We describe algorithmic and modeling aspects, priors over the model space that induce sparsity and parsimony over and above the traditional dimension penalization implicit in Bayesian and likelihood analyses, and parallel computation using cluster computers. We discuss an example from gene expression cancer genomics, comparisons with MCMC and other methods, and theoretical and simulation-based aspects of performance characteristics in large-scale regression model searches. We also provide software implementing the methods.