Acceleration of the stochastic search variable selection via componentwise Gibbs sampling

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 o...

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Bibliographic Details
Published in:Metrika 2017-04, Vol.80 (3), p.289-308
Main Authors: Huang, Hengzhen, Zhou, Shuangshuang, Liu, Min-Qian, Qi, Zong-Feng
Format: Article
Language:English
Subjects:
Bayesian analysis
Computational efficiency
Computing time
Economic Theory/Quantitative Economics/Mathematical Methods
Mathematical models
Mathematics and Statistics
Probability Theory and Stochastic Processes
Regression coefficients
Regression models
Reptiles & amphibians
Sampling
Searching
Statistics
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Summary: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.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-016-0604-x