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Cross-validation prior choice in Bayesian probit regression with many covariates
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Lamnisos, Demetris, Griffin, Jim E. and Steel, Mark F. J. (2012) Cross-validation prior choice in Bayesian probit regression with many covariates. Statistics and Computing, Vol.22 (No.2). pp. 359-373. doi:10.1007/s11222-011-9228-1 ISSN 0960-3174.
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Official URL: http://dx.doi.org/10.1007/s11222-011-9228-1
Abstract
This paper examines prior choice in probit regression through a predictive cross-validation criterion. In particular, we focus on situations where the
number of potential covariates is far larger than the number of observations,
such as in gene expression data. Cross-validation avoids the tendency of such
models to fit perfectly. We choose the scale parameter c in the standard
variable selection prior as the minimizer of the log predictive score. Naive
evaluation of the log predictive score requires substantial computational effort, and we investigate computationally cheaper methods using importance
sampling. We find that K−fold importance densities perform best, in combination with either mixing over different values of c or with integrating over c
through an auxiliary distribution.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Probits, Bayesian statistical decision theory, Regression analysis, Gene expression -- Data processing | ||||
Journal or Publication Title: | Statistics and Computing | ||||
Publisher: | Springer | ||||
ISSN: | 0960-3174 | ||||
Official Date: | March 2012 | ||||
Dates: |
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Volume: | Vol.22 | ||||
Number: | No.2 | ||||
Page Range: | pp. 359-373 | ||||
DOI: | 10.1007/s11222-011-9228-1 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 17 December 2015 | ||||
Date of first compliant Open Access: | 17 December 2015 |
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