Bayesian variable selection for linear regression with the κ-G priors
| dc.contributor.author | Ma, Zichen | |
| dc.contributor.author | Fokoué, Ernest P. | |
| dc.coverage.issue | 2 | cs |
| dc.coverage.volume | 11 | cs |
| dc.date.accessioned | 2023-01-02T07:54:45Z | |
| dc.date.available | 2023-01-02T07:54:45Z | |
| dc.date.issued | 2022 | cs |
| dc.description.abstract | In this paper, we propose a method that balances between variable se- lection and variable shrinkage in linear regression. A diagonal matrix G is injected to the covariance matrix of prior distribution of the coefficient vector β, with each gj , bounded between 0 and 1, on the diagonal serving as a stabilizer of the corre- sponding βj . Mathematically, a gj value close to 0 indicates that the βj is nonzero, and hence the corresponding variable should be selected, whereas the value of gj close to 1 indicates otherwise. We prove this property under orthogonality. Com- putationally, the proposed method is easy to fit using automated programs such as JAGS. We provide three examples to verify the capability of this methodology in variable selection and shrinkage. | en |
| dc.format | text | cs |
| dc.format.extent | 143-154 | cs |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | Mathematics for Applications. 2022 vol. 11, č. 2, s. 143-154. ISSN 1805-3629 | cs |
| dc.identifier.doi | 10.13164/ma.2022.11 | en |
| dc.identifier.issn | 1805-3629 | |
| dc.identifier.uri | http://hdl.handle.net/11012/208723 | |
| dc.language.iso | en | cs |
| dc.publisher | Vysoké učení technické v Brně, Fakulta strojního inženýrství, Ústav matematiky | cs |
| dc.relation.ispartof | Mathematics for Applications | en |
| dc.relation.uri | http://ma.fme.vutbr.cz/archiv/11_2/ma_11_2_ma_fokoue_final.pdf | cs |
| dc.rights | © Vysoké učení technické v Brně, Fakulta strojního inženýrství, Ústav matematiky | cs |
| dc.rights.access | openAccess | en |
| dc.subject | Bayesian linear regression; variable selection; variable shrinkage; g-prior | en |
| dc.title | Bayesian variable selection for linear regression with the κ-G priors | en |
| dc.type.driver | article | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
| eprints.affiliatedInstitution.department | Ústav matematiky | cs |
| eprints.affiliatedInstitution.faculty | Fakulta strojního inženýrství | cs |
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