Bayesian variable selection approach to a Bernstein polynomial regression model with stochastic constraints
- Authors
- Choi, Taeryon; Kim, Hea-Jung; Jo, Seongil
- Issue Date
- 12월-2016
- Publisher
- TAYLOR & FRANCIS LTD
- Keywords
- Bernstein polynomials; hierarchical priors; monotone constraint; rectangle-screened normal distribution; stochastic restriction; variable selection
- Citation
- JOURNAL OF APPLIED STATISTICS, v.43, no.15, pp.2751 - 2771
- Indexed
- SCIE
SCOPUS
- Journal Title
- JOURNAL OF APPLIED STATISTICS
- Volume
- 43
- Number
- 15
- Start Page
- 2751
- End Page
- 2771
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/86679
- DOI
- 10.1080/02664763.2016.1143456
- ISSN
- 0266-4763
- Abstract
- This paper provides a Bayesian estimation procedure for monotone regression models incorporating the monotone trend constraint subject to uncertainty. For monotone regression modeling with stochastic restrictions, we propose a Bayesian Bernstein polynomial regression model using two-stage hierarchical prior distributions based on a family of rectangle-screened multivariate Gaussian distributions extended from the work of Gurtis and Ghosh [7]. This approach reflects the uncertainty about the prior constraint, and thus proposes a regression model subject to monotone restriction with uncertainty. Based on the proposed model, we derive the posterior distributions for unknown parameters and present numerical schemes to generate posterior samples. We show the empirical performance of the proposed model based on synthetic data and real data applications and compare the performance to the Bernstein polynomial regression model of Curtis and Ghosh [7] for the shape restriction with certainty. We illustrate the effectiveness of our proposed method that incorporates the uncertainty of the monotone trend and automatically adapts the regression function to the monotonicity, through empirical analysis with synthetic data and real data applications.
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