[R] Bayesian regression stepwise function?
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Thu Oct 22 21:08:56 CEST 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 ...
Exactly. I hope it doesn't exist. The beauty of Bayes is shrinkage,
borrowing of information, and statement of results in an intuitive way.
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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