Mixture of g-priors for Generalized Linear Models

A new revision of the paper with Yingbo Li on Mixtures of g-priors in Generalized Linear Models is now available

Li, Yingbo and Clyde, Merlise A. 2016. Mixtures of g-priors in Generalized Linear Models

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 unify mixtures of $g$-priors in GLMs by assigning the truncated Compound Confluent Hypergeometric (tCCH) distribution to $1/(1+g)$, which encompasses as special cases several mixtures of $g$-priors in the literature, such as the hyper-$g$, Beta-prime, truncated Gamma, incomplete inverse-Gamma, benchmark, robust, hyper-$g/n$, and intrinsic priors. Through an integrated Laplace approximation, the posterior distribution of $1/(1+g)$ is in turn a tCCH distribution, and approximate marginal likelihoods are thus available analytically, leading to “Compound Hypergeometric Information Criteria” for model selection. We discuss the local geometric properties of the $g$-prior in GLMs and show how the desiderata for model selection proposed by Bayarri et al, such as asymptotic model selection consistency, intrinsic consistency, and measurement invariance may be used to justify the prior and specific choices of the hyper parameters. We illustrate inference using these priors and contrast them to other approaches via simulation and real data examples. The methodology is implemented in the R package BAS and freely available on CRAN.

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