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March 2009 A review of Bayesian variable selection methods: what, how and which
R. B. O'Hara, M. J. Sillanpää
Bayesian Anal. 4(1): 85-117 (March 2009). DOI: 10.1214/09-BA403

Abstract

The selection of variables in regression problems has occupied the minds of many statisticians. Several Bayesian variable selection methods have been developed, and we concentrate on the following methods: Kuo & Mallick, Gibbs Variable Selection (GVS), Stochastic Search Variable Selection (SSVS), adaptive shrinkage with Jeffreys' prior or a Laplacian prior, and reversible jump MCMC. We review these methods, in the context of their different properties. We then implement the methods in BUGS, using both real and simulated data as examples, and investigate how the different methods perform in practice. Our results suggest that SSVS, reversible jump MCMC and adaptive shrinkage methods can all work well, but the choice of which method is better will depend on the priors that are used, and also on how they are implemented.

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R. B. O'Hara. M. J. Sillanpää. "A review of Bayesian variable selection methods: what, how and which." Bayesian Anal. 4 (1) 85 - 117, March 2009. https://doi.org/10.1214/09-BA403

Information

Published: March 2009
First available in Project Euclid: 22 June 2012

zbMATH: 1330.62291
MathSciNet: MR2486240
Digital Object Identifier: 10.1214/09-BA403

Rights: Copyright © 2009 International Society for Bayesian Analysis

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Vol.4 • No. 1 • March 2009
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