Gibbs posterior for variable selection in high-dimensional classification and data mining

Details Gibbs posterior for variable selection in high-dimensional classification and data mining Gibbs posterior for variable selection in high-dimensional classification and data mining

2008-10-31

arxiv.org/abs/0810.5655v1

Annals of Statistics 2008, Vol. 36, No. 5, 2207-2231

Statistics

Methodology

Published in at http://dx.doi.org/10.1214/07-AOS547 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS547

In the popular approach of "Bayesian variable selection" (BVS), one uses prior and posterior distributions to select a subset of candidate variables to enter the model. A completely new direction will be considered here to study BVS with a Gibbs posterior originating in statistical mechanics. The Gibbs posterior is constructed from a risk function of practical interest (such as the classification error) and aims at minimizing a risk function without modeling the data probabilistically. This can improve the performance over the usual Bayesian approach, which depends on a probability model which may be misspecified. Conditions will be provided to achieve good risk performance, even in the presence of high dimensionality, when the number of candidate variables "$K$" can be much larger than the sample size "$n$." In addition, we develop a convenient Markov chain Monte Carlo algorithm to implement BVS with the Gibbs posterior.

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