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Acceleration of the stochastic search variable selection via componentwise Gibbs sampling

Author

Listed:
  • Hengzhen Huang

    (Guangxi Normal University)

  • Shuangshuang Zhou

    (Nankai University)

  • Min-Qian Liu

    (Nankai University)

  • Zong-Feng Qi

    (The State Key Laboratory of Complex Electromagnetic Environment Effects on Electronics and Information System (CEMEE))

Abstract

The stochastic search variable selection proposed by George and McCulloch (J Am Stat Assoc 88:881–889, 1993) is one of the most popular variable selection methods for linear regression models. Many efforts have been proposed in the literature to improve its computational efficiency. However, most of these efforts change its original Bayesian formulation, thus the comparisons are not fair. This work focuses on how to improve the computational efficiency of the stochastic search variable selection, but remains its original Bayesian formulation unchanged. The improvement is achieved by developing a new Gibbs sampling scheme different from that of George and McCulloch (J Am Stat Assoc 88:881–889, 1993). A remarkable feature of the proposed Gibbs sampling scheme is that, it samples the regression coefficients from their posterior distributions in a componentwise manner, so that the expensive computation of the inverse of the information matrix, which is involved in the algorithm of George and McCulloch (J Am Stat Assoc 88:881–889, 1993), can be avoided. Moreover, since the original Bayesian formulation remains unchanged, the stochastic search variable selection using the proposed Gibbs sampling scheme shall be as efficient as that of George and McCulloch (J Am Stat Assoc 88:881–889, 1993) in terms of assigning large probabilities to those promising models. Some numerical results support these findings.

Suggested Citation

  • Hengzhen Huang & Shuangshuang Zhou & Min-Qian Liu & Zong-Feng Qi, 2017. "Acceleration of the stochastic search variable selection via componentwise Gibbs sampling," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(3), pages 289-308, April.
  • Handle: RePEc:spr:metrik:v:80:y:2017:i:3:d:10.1007_s00184-016-0604-x
    DOI: 10.1007/s00184-016-0604-x
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    References listed on IDEAS

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    1. Yan Liu & Min-Qian Liu, 2012. "Construction of equidistant and weak equidistant supersaturated designs," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(1), pages 33-53, January.
    2. Huang, Hengzhen & Yang, Jinyu & Liu, Min-Qian, 2014. "Functionally induced priors for componentwise Gibbs sampler in the analysis of supersaturated designs," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 1-12.
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