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Review of Bayesian selection methods for categorical predictors using JAGS.
- Source :
- Journal of Applied Statistics; Jul2022, Vol. 49 Issue 9, p2370-2388, 19p, 1 Diagram, 7 Charts
- Publication Year :
- 2022
-
Abstract
- The formulation of variable selection has been widely developed in the Bayesian literature by linking a random binary indicator to each variable. This Bayesian inference has the advantage of stochastically exploring the set of possible sub-models, whatever their dimension. Bayesian selection approaches, appropriate for categorical predictors, are generally beyond the scope of the standard Bayesian selection of regressors in the linear model since all levels of a categorical variable should be jointly handled in the selection procedure. For categorical covariates, new strategies have been developed to detect the effect of grouped covariates rather than the single effect of a quantitative regressor. In this paper, we review three Bayesian selection methods for categorical predictors: Bayesian Group Lasso with Spike and Slab priors, Bayesian Sparse Group Selection and Bayesian Effect Fusion using model-based clustering. The motivation behind this paper is to provide detailed information about the implementation of the three Bayesian selection methods mentioned above, appropriate for categorical predictors, using the JAGS software. Selection performance and sensitivity analysis of the hyperparameters tuning for prior specifications are assessed under various simulated scenarios. JAGS helps user implement these three Bayesian selection methods for more complex model structures such as hierarchical ones with latent layers. [ABSTRACT FROM AUTHOR]
- Subjects :
- BAYESIAN field theory
SENSITIVITY analysis
Subjects
Details
- Language :
- English
- ISSN :
- 02664763
- Volume :
- 49
- Issue :
- 9
- Database :
- Complementary Index
- Journal :
- Journal of Applied Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 157355180
- Full Text :
- https://doi.org/10.1080/02664763.2021.1902955