alexa An Efficient Stochastic Search for Bayesian Variable Selection with High-Dimensional Correlated Predictors.
Mathematics

Mathematics

Journal of Biometrics & Biostatistics

Author(s): Kwon D, Landi MT, Vannucci M, Issaq HJ, Prieto D,

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Abstract We present a Bayesian variable selection method for the setting in which the number of independent variables or predictors in a particular dataset is much larger than the available sample size. While most existing methods allow some degree of correlations among predictors but do not consider these correlations for variable selection, our method accounts for correlations among the predictors in variable selection. Our correlation-based stochastic search (CBS) method, the hybrid-CBS algorithm, extends a popular search algorithm for high-dimensional data, the stochastic search variable selection (SSVS) method. Similar to SSVS, we search the space of all possible models using variable addition, deletion or swap moves. However, our moves through the model space are designed to accommodate correlations among the variables. We describe our approach for continuous, binary, ordinal, and count outcome data. The impact of choices of prior distributions and hyper-parameters is assessed in simulation studies. We also examined performance of variable selection and prediction as the correlation structure of the predictors varies. We found that the hybrid-CBS resulted in lower prediction errors and better identified the true outcome associated predictors than SSVS when predictors were moderately to highly correlated. We illustrate the method on data from a proteomic profiling study of melanoma, a skin cancer.
This article was published in Comput Stat Data Anal and referenced in Journal of Biometrics & Biostatistics

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