R package BAS: Bayesian Variable Selection and Model Averaging using Bayesian Adaptive Sampling. Package for Bayesian Variable Selection and Model Averaging in linear models and generalized linear models using stochastic or deterministic sampling without replacement from posterior distributions. Prior distributions on coefficients are from Zellner’s g-prior or mixtures of g-priors corresponding to the Zellner-Siow Cauchy Priors or the mixture of g-priors from Liang et al (2008) <doi:10.1198/016214507000001337> for linear models or mixtures of g-priors in GLMs of Li and Clyde (2015) <arXiv:1503.06913>. Other model selection criteria include AIC, BIC and Empirical Bayes estimates of g. Sampling probabilities may be updated based on the sampled models using Sampling w/out Replacement or an efficient MCMC algorithm samples models using the BAS tree structure as an efficient hash table. Uniform priors over all models or beta-binomial prior distributions on model size are allowed, and for large p truncated priors on the model space may be used. The user may force variables to always be included. Details behind the sampling algorithm are provided in Clyde, Ghosh and Littman (2010) <doi:10.1198/jcgs.2010.09049>. This material is based upon work supported by the National Science Foundation under Grant DMS-1106891. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation.
Keywords for this software
References in zbMATH (referenced in 5 articles )
Showing results 1 to 5 of 5.
- Li, Yingbo; Clyde, Merlise A.: Mixtures of (g)-priors in generalized linear models (2018)
- Marcin Błażejowski; Jacek Kwiatkowski: Bayesian Model Averaging and Jointness Measures for gretl (2015) not zbMATH
- Stefan Zeugner; Martin Feldkircher: Bayesian Model Averaging Employing Fixed and Flexible Priors: The BMS Package for R (2015) not zbMATH
- Ghosh, Joyee; Reiter, Jerome P.: Secure Bayesian model averaging for horizontally partitioned data (2013)
- Dellaportas, Petros; Forster, Jonathan J.; Ntzoufras, Ioannis: Joint specification of model space and parameter space prior distributions (2012)