Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models

Details Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models

2007-07-14

arxiv.org/abs/0707.2158v1

Statistics

Methodology

8 graphs 35 pages

Scientific paper

We express the mean and variance terms in a double exponential regression model as additive functions of the predictors and use Bayesian variable selection to determine which predictors enter the model, and whether they enter linearly or flexibly. When the variance term is null we obtain a generalized additive model, which becomes a generalized linear model if the predictors enter the mean linearly. The model is estimated using Markov chain Monte Carlo simulation and the methodology is illustrated using real and simulated data sets.

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