Journal
STATISTICS AND COMPUTING
Volume 20, Issue 2, Pages 221-229Publisher
SPRINGER
DOI: 10.1007/s11222-009-9160-9
Keywords
Double-exponential distribution; Gibbs sampler; Marginal likelihood; MCMC; Model averaging; Orthant-normal distribution; SSVS
Funding
- National Science Foundation [DMS-0706948]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1007682] Funding Source: National Science Foundation
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While Bayesian analogues of lasso regression have become popular, comparatively little has been said about formal treatments of model uncertainty in such settings. This paper describes methods that can be used to evaluate the posterior distribution over the space of all possible regression models for Bayesian lasso regression. Access to the model space posterior distribution is necessary if model-averaged inference-e.g., model-averaged prediction and calculation of posterior variable inclusion probabilities-is desired. The key element of all such inference is the ability to evaluate the marginal likelihood of the data under a given regression model, which has so far proved difficult for the Bayesian lasso. This paper describes how the marginal likelihood can be accurately computed when the number of predictors in the model is not too large, allowing for model space enumeration when the total number of possible predictors is modest. In cases where the total number of possible predictors is large, a simple Markov chain Monte Carlo approach for sampling the model space posterior is provided. This Gibbs sampling approach is similar in spirit to the stochastic search variable selection methods that have become one of the main tools for addressing Bayesian regression model uncertainty, and the adaption of these methods to the Bayesian lasso is shown to be straightforward.
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