Bayes Variable Selection in Semiparametric Linear Models

Abstract

There is a rich literature proposing methods and establishing asymptotic properties of Bayesian variable selection methods for parametric models, with a particular focus on the normal linear regression model and an increasing emphasis on settings in which the number of candidate predictors ($p$) diverges with sample size ($n$). Our focus is on generalizing methods and asymptotic theory established for mixtures of $g$-priors to semiparametric linear regression models having unknown residual densities. Using a Dirichlet process location mixture for the residual density, we propose a semiparametric $g$-prior which incorporates an unknown matrix of cluster allocation indicators. For this class of priors, posterior computation can proceed via a straightforward stochastic search variable selection algorithm. In addition, Bayes factor and variable selection consistency is shown to result under various cases including proper and improper priors on $g$ and $p>n$, with the models under comparison restricted to have model dimensions diverging at a rate less than $n$.