Simultaneous parameter estimation and variable selection via the logit-normal continuous analogue of the spike-and-slab prior

利用尖峰平板先验的logit-正态连续模拟,同时进行参数估计和变量选择。

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Abstract

We introduce a Bayesian prior distribution, the logit-normal continuous analogue of the spike-and-slab, which enables flexible parameter estimation and variable/model selection in a variety of settings. We demonstrate its use and efficacy in three case studies-a simulation study and two studies on real biological data from the fields of metabolomics and genomics. The prior allows the use of classical statistical models, which are easily interpretable and well known to applied scientists, but performs comparably to common machine learning methods in terms of generalizability to previously unseen data.

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