Shotgun stochastic search for "large p" regression

Journal Article (Journal Article)

Model search in regression with very large numbers of candidate predictors raises challenges for both model specification and computation, for which standard approaches such as Markov chain Monte Carlo (MCMC) methods are often infeasible or ineffective. We describe a novel shotgun stochastic search (SSS) approach that explores "interesting" regions of the resulting high-dimensional model spaces and quickly identifies regions of high posterior probability over models. We describe algorithmic and modeling aspects, priors over the model space that induce sparsity and parsimony over and above the traditional dimension penalization implicit in Bayesian and likelihood analyses, and parallel computation using cluster computers. We discuss an example from gene expression cancer genomics, comparisons with MCMC and other methods, and theoretical and simulation-based aspects of performance characteristics in large-scale regression model searches. We also provide software implementing the methods. © 2007 American Statistical Association.

Full Text

Duke Authors

Cited Authors

  • Hans, C; Dobra, A; West, M

Published Date

  • June 1, 2007

Published In

Volume / Issue

  • 102 / 478

Start / End Page

  • 507 - 516

International Standard Serial Number (ISSN)

  • 0162-1459

Digital Object Identifier (DOI)

  • 10.1198/016214507000000121

Citation Source

  • Scopus