Mixtures of G-Priors in Generalized Linear Models

• Activity Number: 123
• Type: Topic Contributed
• Date/Time: Monday, August 10, 2015 : 8:30 AM to 10:20 AM
• Sponsor: Section on Bayesian Statistical Science
• Author(s): Yingbo Li* and Merlise Clyde
• Companies: Clemson University and Duke University
• Keywords: model selection ; g-prior ; generalized linear model ; Bayesian model averaging ; mixture of g-priors ; variable selection

Abstract

Mixtures of Zellner's g-priors have been studied extensively in linear models and have been shown to have numerous desirable properties for Bayesian variable selection and model averaging. Several extensions of g-priors to Generalized Linear Models (GLMs) have been proposed in the literature; however, the choice of prior distribution of g and resulting properties for inference have received considerably less attention. In this paper, we extend mixtures of g-priors to GLMs by assigning the truncated Compound Confluent Hypergeometric (tCCH) distribution to 1/(1 + g) and illustrate how this prior distribution encompasses several special cases of mixtures of g-priors in the literature, such as the Hyper-g, truncated Gamma, Beta-prime, and the Robust prior. Under an integrated Laplace approximation on the likelihood, the posterior distribution of 1/(1 + g) is in turn a tCCH distribution, and approximate marginal likelihoods are thus available analytically. We discuss the local geometric properties of the g-prior in GLMs and show that specific choices of the hyper-parameters satisfy the various desiderata for model selection proposed by Bayarri et al (2012).