Intuitive joint priors for Bayesian linear multilevel models: The R2D2M2 prior
نویسندگان
چکیده
The training of high-dimensional regression models on comparably sparse data is an important yet complicated topic, especially when there are many more model parameters than observations in the data. From a Bayesian perspective, inference such cases can be achieved with help shrinkage prior distributions, at least for generalized linear models. However, real-world usually possess multilevel structures, as repeated measurements or natural groupings individuals, which existing priors not built to deal with. We generalize and extend one these priors, R2D2 by Zhang et al. (2020), leading what we call R2D2M2 prior. proposed enables both local global parameters. It comes interpretable hyperparameters, show intrinsically related vital properties prior, rates concentration around origin, tail behavior, amount exerts. offer guidelines how select prior’s hyperparameters deriving factors measuring effective number non-zero coefficients. Hence, user readily evaluate interpret implied specific choice hyperparameters. Finally, perform extensive experiments simulated real data, showing that our procedure well calibrated, has desirable regularization reliable estimation much complex was previously possible.
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2023
ISSN: ['1935-7524']
DOI: https://doi.org/10.1214/23-ejs2136