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Activity Number: 526 - Bayesian Clustering and Variable Selection
Type: Contributed
Date/Time: Wednesday, August 1, 2018 : 10:30 AM to 12:20 PM
Sponsor: Section on Bayesian Statistical Science
Abstract #330665 Presentation
Title: A Bayesian Method for Variable Screening
Author(s): Somak Dutta* and Vivekananda Roy
Companies: Iowa State University and Iowa State University
Keywords: variable selection; hierarchical model; shrinkage; beta-binomial

We propose a novel Bayesian screening method in ultra-high dimensional linear regression setting where the number of covariates grows at a near exponential rate with the sample size. The proposed method opens up the possibility of considering prior information on the effect sizes and model size during variable screening. The proposed method iteratively considers the inclusion probabilities of potential variables integrating out the effects of already included variables and includes the variables using the Bayes factor or the BIC. We demonstrate the screening properties and scalability of the proposed method using simulation and real data applications.

Authors who are presenting talks have a * after their name.

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