[R] Bayesian regression stepwise function?

[Charles C. Berry]

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
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901