On Thu, 22 Oct 2009, Ben Bolker wrote:
Allan.Y wrote:
Hi everyone,
I am wondering if there exists a stepwise regression function for the
Bayesian regression model. I tried googling, but I couldn't find
anything. I know "step" function exists for regular stepwise regression,
but nothing for Bayes.
Why? That seems so ... un-Bayesian ...
If 'fools rush in where angels fear to tread', then Bayesians 'jump' in
where frequentists fear to 'step'...
Seriously, there are Bayesian regression approaches that priorize the
model size (sometimes only implicitly by assigning a prior for the
inclusion of each candidate regressors). Then they 'jump' between models
of different sizes.
On CRAN, Package qtlbim (which is specialized to a particular genetics
problem) implements one such, I think.
Package bqtl does not implement the jumping approach, but does explore a
model space with differing numbers of regressors for the same (qtl)
problem.
Perhaps the closest to a general purpose 'stepwise flavored' Bayesian
regression is implemented in Package BMA, which IIRC borrows step() for
some of its work.
But CRAN now has more packages than my cortex has neurons, so there are
probably more packages that do something like this. Try
RSiteSearch("jump regression", restric='functions')
and start reading.
HTH,
Chuck
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Charles C. Berry (858) 534-2098
Dept of Family/Preventive Medicine
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