Ravi Varadhan wrote:
The stepAIC() function in "MASS" can be used, with k = log(n), to implement
your suggestion of "quasi-Bayesian" stepwise selection using the BIC
criterion.
Ravi.
Although many statisticians use BIC otherwise, it was only designed to
compare two pre-specified models.
Frank
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Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvarad...@jhmi.edu
Webpage:
http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h
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-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of jlu...@ria.buffalo.edu
Sent: Friday, October 23, 2009 2:31 PM
To: Allan.Y
Cc: r-help@r-project.org; r-help-boun...@r-project.org
Subject: Re: [R] Bayesian regression stepwise function?
The BIC (Raftery) can be used for quasi-Bayesian model selection, but it's
not stepwise. Ntzoufras shows how to use WinBUGS to conduct Bayesian
model selection, but again it's not stepwise
Ntzoufras, I. (2002), 'Gibbs variable selection using BUGS', Journal of
Statistical Software 7(7), 1--19.
Ntzoufras, I. (2009), Bayesian modeling using WinBUGS, Wiley, Hoboken, NJ.
Raftery, A. E. (1995), 'Bayesian model selection in social research',
Sociological Methodology 25, 111-163.
"Allan.Y" <all...@cmu.edu>
Sent by: r-help-boun...@r-project.org
10/22/2009 01:09 PM
To
r-help@r-project.org
cc
Subject
[R] Bayesian regression stepwise function?
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.
Thanks
--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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