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Bayesian variable and link determination for generalised linear models

Bayesian variable and link determination for generalised linear models
Bayesian variable and link determination for generalised linear models
In this paper, we describe full Bayesian inference for generalised linear models where uncertainty exists about the structure of the linear predictor, the linear parameters and the link function. Choice of suitable prior distributions is discussed in detail and we propose an efficient reversible jump Markov chain Monte-Carlo algorithm for calculating posterior summaries. We illustrate our method with two data examples.
logistic regression, markov chain monte-carlo, reversible jump
0378-3758
165-180
Ntzoufras, I.
3831ee6a-fc80-4ace-8dc6-a2c9be17769e
Dellaportas, P.
9f6d08e0-a1e3-4f8c-83e2-c69a1f2af0a3
Forster, J.J.
e3c534ad-fa69-42f5-b67b-11617bc84879
Ntzoufras, I.
3831ee6a-fc80-4ace-8dc6-a2c9be17769e
Dellaportas, P.
9f6d08e0-a1e3-4f8c-83e2-c69a1f2af0a3
Forster, J.J.
e3c534ad-fa69-42f5-b67b-11617bc84879

Ntzoufras, I., Dellaportas, P. and Forster, J.J. (2003) Bayesian variable and link determination for generalised linear models. Journal of Statistical Planning and Inference, 111 (1-2), 165-180. (doi:10.1016/S0378-3758(02)00298-7).

Record type: Article

Abstract

In this paper, we describe full Bayesian inference for generalised linear models where uncertainty exists about the structure of the linear predictor, the linear parameters and the link function. Choice of suitable prior distributions is discussed in detail and we propose an efficient reversible jump Markov chain Monte-Carlo algorithm for calculating posterior summaries. We illustrate our method with two data examples.

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More information

Published date: 2003
Keywords: logistic regression, markov chain monte-carlo, reversible jump
Organisations: Statistics

Identifiers

Local EPrints ID: 29968
URI: http://eprints.soton.ac.uk/id/eprint/29968
DOI: doi:10.1016/S0378-3758(02)00298-7
ISSN: 0378-3758
PURE UUID: c17289a5-e802-4612-b89f-ac1252940280
ORCID for J.J. Forster: ORCID iD orcid.org/0000-0002-7867-3411

Catalogue record

Date deposited: 12 May 2006
Last modified: 16 Mar 2024 02:45

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Contributors

Author: I. Ntzoufras
Author: P. Dellaportas
Author: J.J. Forster ORCID iD

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