A review of Bayesian variable selection methods: what, how and which

B. O’Hara, Robert; J. Sillanpää, Mikko

doi:10.1214/09-ba403

Public

A review of Bayesian variable selection methods: what, how and which

Published in Bayesian Analysis • Mar 1, 2009

Authors:

Robert B. O’Hara

Mikko J. Sillanpää

Abstract

The selection of variables in regression problems has occupied the minds of many statisticians. Several Bayesian variable selection methods have been developed, and we concentrate on the following methods: Kuo & Mallick, Gibbs Variable Selection (GVS), Stochastic Search Variable Selection (SSVS), ad...

Subject

Prior probability

Markov chain Monte Carlo

Feature selection

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