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Hosseinpour Samim Mamaghani, Robabeh, Skandari, Farzad. (1401). Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models. سامانه مدیریت نشریات علمی, 2(2), 63-90. doi: 10.22054/jmmf.2023.15187
Robabeh Hosseinpour Samim Mamaghani; Farzad Skandari. "Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models". سامانه مدیریت نشریات علمی, 2, 2, 1401, 63-90. doi: 10.22054/jmmf.2023.15187
Hosseinpour Samim Mamaghani, Robabeh, Skandari, Farzad. (1401). 'Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models', سامانه مدیریت نشریات علمی, 2(2), pp. 63-90. doi: 10.22054/jmmf.2023.15187
Hosseinpour Samim Mamaghani, Robabeh, Skandari, Farzad. Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models. سامانه مدیریت نشریات علمی, 1401; 2(2): 63-90. doi: 10.22054/jmmf.2023.15187

Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models

Journal of Mathematics and Modeling in Finance
دوره 2، شماره 2، فروردین 2023، صفحه 63-90  XML اصل مقاله (309.01 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2023.15187
نویسندگان
Robabeh Hosseinpour Samim Mamaghani1؛ Farzad Skandari email 2
1Allameh Tabataba'i University
2Allameh, Tabatabai University
چکیده
In this paper, we considered a Bayesian hierarchical method using the hyper product inverse moment

prior in the ultrahigh-dimensional generalized linear model (UDGLM), that was useful in the Bayesian

variable selection. We showed the posterior probabilities of the true model converge to 1 as the sample

size increases. For computing the posterior probabilities, we implemented the Laplace approximation.

The Simplified Shotgun Stochastic Search with Screening (S5) procedure for generalized linear model

was suggested for exploring the posterior space. Simulation studies and real data analysis using the

Bayesian ultrahigh-dimensional generalized linear model indicate that the proposed method had better performance than the previous models.
کلیدواژه‌ها
‎ Ultrahigh dimensional؛ Nonlocal prior؛ Optimal properties؛ Bayesian Variable Selection؛ Generalized Linear Model&lrm
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تعداد مشاهده مقاله: 14
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