1,472 research outputs found
Spike-and-Slab Priors for Function Selection in Structured Additive Regression Models
Structured additive regression provides a general framework for complex
Gaussian and non-Gaussian regression models, with predictors comprising
arbitrary combinations of nonlinear functions and surfaces, spatial effects,
varying coefficients, random effects and further regression terms. The large
flexibility of structured additive regression makes function selection a
challenging and important task, aiming at (1) selecting the relevant
covariates, (2) choosing an appropriate and parsimonious representation of the
impact of covariates on the predictor and (3) determining the required
interactions. We propose a spike-and-slab prior structure for function
selection that allows to include or exclude single coefficients as well as
blocks of coefficients representing specific model terms. A novel
multiplicative parameter expansion is required to obtain good mixing and
convergence properties in a Markov chain Monte Carlo simulation approach and is
shown to induce desirable shrinkage properties. In simulation studies and with
(real) benchmark classification data, we investigate sensitivity to
hyperparameter settings and compare performance to competitors. The flexibility
and applicability of our approach are demonstrated in an additive piecewise
exponential model with time-varying effects for right-censored survival times
of intensive care patients with sepsis. Geoadditive and additive mixed logit
model applications are discussed in an extensive appendix
Normal-Mixture-of-Inverse-Gamma Priors for Bayesian Regularization and Model Selection in Structured Additive Regression Models
In regression models with many potential predictors, choosing an appropriate subset of covariates and their interactions at the same time as determining whether linear or more flexible functional forms are required is a challenging and important task. We propose a spike-and-slab prior structure in order to include or exclude single coefficients as well as blocks of coefficients associated
with factor variables, random effects or basis expansions
of smooth functions. Structured additive models with this prior structure are estimated with Markov Chain Monte Carlo using a redundant multiplicative parameter expansion. We discuss shrinkage properties of the novel prior induced by the redundant parameterization, investigate its sensitivity to hyperparameter settings and compare performance of the proposed method in terms of model selection, sparsity recovery, and estimation error for Gaussian, binomial and Poisson responses on real and simulated data sets with that of component-wise boosting and other approaches
Neural Connectivity with Hidden Gaussian Graphical State-Model
The noninvasive procedures for neural connectivity are under questioning.
Theoretical models sustain that the electromagnetic field registered at
external sensors is elicited by currents at neural space. Nevertheless, what we
observe at the sensor space is a superposition of projected fields, from the
whole gray-matter. This is the reason for a major pitfall of noninvasive
Electrophysiology methods: distorted reconstruction of neural activity and its
connectivity or leakage. It has been proven that current methods produce
incorrect connectomes. Somewhat related to the incorrect connectivity
modelling, they disregard either Systems Theory and Bayesian Information
Theory. We introduce a new formalism that attains for it, Hidden Gaussian
Graphical State-Model (HIGGS). A neural Gaussian Graphical Model (GGM) hidden
by the observation equation of Magneto-encephalographic (MEEG) signals. HIGGS
is equivalent to a frequency domain Linear State Space Model (LSSM) but with
sparse connectivity prior. The mathematical contribution here is the theory for
high-dimensional and frequency-domain HIGGS solvers. We demonstrate that HIGGS
can attenuate the leakage effect in the most critical case: the distortion EEG
signal due to head volume conduction heterogeneities. Its application in EEG is
illustrated with retrieved connectivity patterns from human Steady State Visual
Evoked Potentials (SSVEP). We provide for the first time confirmatory evidence
for noninvasive procedures of neural connectivity: concurrent EEG and
Electrocorticography (ECoG) recordings on monkey. Open source packages are
freely available online, to reproduce the results presented in this paper and
to analyze external MEEG databases
Exact Dimensionality Selection for Bayesian PCA
We present a Bayesian model selection approach to estimate the intrinsic
dimensionality of a high-dimensional dataset. To this end, we introduce a novel
formulation of the probabilisitic principal component analysis model based on a
normal-gamma prior distribution. In this context, we exhibit a closed-form
expression of the marginal likelihood which allows to infer an optimal number
of components. We also propose a heuristic based on the expected shape of the
marginal likelihood curve in order to choose the hyperparameters. In
non-asymptotic frameworks, we show on simulated data that this exact
dimensionality selection approach is competitive with both Bayesian and
frequentist state-of-the-art methods
- …