Scalable Bayesian Variable Selection Using Nonlocal Priors in Ultrahigh-dimensional Settings
Minsuk Shin, Texas A&M University
Bayesian model selection procedures based on nonlocal alternative prior densities are extended to ultrahigh dimensional settings. We find that Bayesian variable selection procedures based on nonlocal priors are competitive to other existing procedures in a range of simulation scenarios, and we subsequently explain this favorable performance through a theoretical examination of their consistency properties. When certain regularity conditions apply, we demonstrate that the nonlocal procedures are consistent for linear models even when the number of covariates p increases sub-exponentially with the sample size n. We investigate the asymptotic form of the marginal likelihood based on the nonlocal priors and show that it attains a unique term that cannot be derived from the other Bayesian model selection procedures. We also propose a scalable and efficient algorithm called Simplified Shotgun Stochastic Search with Screening (S5) to explore the enormous model space, and we show that S5 dramatically reduces the computing time without losing the capacity to search the interesting region in the model space, at least in the simulation settings considered. The S5 algorithm is available in an R package BayesS5 on CRAN.