Charles C. Berry wrote:
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.
library(sos)
jr <- ???'jump regression'
summary(jr)
# Downloaded 22 links in 14 packages.
# packages with 3 help pages matching 'jump regression':
# monomvn, CalciOMatic, polydect;
# qtl has 1 ...
bs <- ???'Bayesian step'
bsw <- ???'Bayesian stepwise'
bs. <- bs|bsw
summary(bs.)
Total number of matches: 119
Downloaded 115 links in 63 packages.
Packages with at least 2 matches using search pattern 'Bayesian+step |
Bayesian+stepwise':
Package Count MaxScore TotalScore Date
1 DPpackage 8 2 11 2009-03-17 06:38:42
2 BMA 6 1 6 2009-05-01 12:21:01
3 ensembleBMA 5 1 5 2009-07-01 07:16:43
4 MMIX 4 3 8 2009-08-16 05:47:37
5 mclust 4 2 8 2009-07-14 05:39:10
6 adlift 4 1 4 2009-02-01 06:31:16
7 tgp 3 4 8 2009-07-29 11:14:36
8 geoRglm 3 4 6 2009-10-19 19:21:57
9 G1DBN 3 2 5 2008-01-24 16:27:29
10 bayesm 3 1 3 2008-06-14 15:31:09
11 bqtl 3 1 3 2009-01-15 07:02:43
12 qtlbim 2 12 13 2009-07-29 10:50:13
13 BAYSTAR 2 11 12 2009-10-19 19:17:18
14 gap 2 4 5 2009-01-15 07:03:58
15 MSBVAR 2 4 5 2009-07-29 10:49:07
16 bayesSurv 2 3 5 2008-12-15 10:06:16
17 bnlearn 2 2 3 2009-09-01 08:25:43
18 spBayes 2 2 3 2009-03-28 07:33:41
19 dlm 2 1 2 2009-07-01 07:16:28
20 GOFSN 2 1 2 2009-07-01 07:47:10
21 MCMChybridGP 2 1 2 2009-10-01 05:27:43
22 mgcv 2 1 2 2009-08-24 16:03:12
23 nlreg 2 1 2 2007-11-02 13:14:56
24 nlt 2 1 2 2009-03-02 07:30:34
25 pARtial 2 1 2 2006-11-01 02:59:23
26 plink 2 1 2 2009-07-01 07:19:44
27 qtl 2 1 2 2009-09-17 15:46:05
28 timsac 2 1 2 2009-03-28 07:27:28
# This took more longer to describe it than run.
# Hope this helps.
# Spencer
HTH,
Chuck
--
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Charles C. Berry (858) 534-2098
Dept of Family/Preventive
Medicine
E mailto:cbe...@tajo.ucsd.edu UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/ La Jolla, San Diego
92093-0901
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--
Spencer Graves, PE, PhD
President and Chief Operating Officer
Structure Inspection and Monitoring, Inc.
751 Emerson Ct.
San José, CA 95126
ph: 408-655-4567
______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
