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Two-level stochastic search variable selection in GLMs with missing predictors

Mitra, Robin and Dunson, David (2010) Two-level stochastic search variable selection in GLMs with missing predictors International Journal of Biostatistics, 6, (1), p. 33. (doi:10.2202/1557-4679.1173).

Record type: Article

Abstract

Stochastic search variable selection (SSVS) algorithms provide an appealing and widely used approach for searching for good subsets of predictors while simultaneously estimating posterior model probabilities and model-averaged predictive distributions. This article proposes a two-level generalization of SSVS to account for missing predictors while accommodating uncertainty in the relationships between these predictors. Bayesian approaches for allowing predictors that are missing at random require a model on the joint distribution of the predictors. We show that predictive performance can be improved by allowing uncertainty in the specification of predictor relationships in this model. The methods are illustrated through simulation studies and analysis of an epidemiologic data set.

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Published date: January 2010
Organisations: Statistics

Identifiers

Local EPrints ID: 181607
URI: http://eprints.soton.ac.uk/id/eprint/181607
ISSN: 1557-4679
PURE UUID: 0ae93c11-d821-4232-b629-0cf0e1918c13

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Date deposited: 19 Apr 2011 10:34
Last modified: 18 Jul 2017 11:58

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Contributors

Author: Robin Mitra
Author: David Dunson

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