Journal article
Cauchy and other shrinkage priors for logistic regression in the presence of separation
Wiley interdisciplinary reviews. Computational statistics, Vol.11(6), e1478
11/01/2019
DOI: 10.1002/wics.1478
Abstract
In recent years, the choice of prior distributions for Bayesian logistic regression has received considerable interest. It is widely acknowledged that noninformative, improper priors have to be used with caution because posterior propriety may not always hold. As an alternative, heavy-tailed priors such as Cauchy prior distributions have been proposed by Gelman et al. (2008). The motivation for using Cauchy prior distributions is that they are proper, and thus, unlike noninformative priors, they are guaranteed to yield proper posterior distributions. The heavy tails of the Cauchy distribution allow the posterior distribution to adapt to the data. Thus Gelman et al. (2008) suggested the use of these prior distributions as a default weakly informative choice, in the absence of prior knowledge about the regression coefficients. While these prior distributions are guaranteed to have proper posterior distributions, Ghosh, Li, and Mitra (2018), showed that the posterior means may not exist, or can be unreasonably large, when they exist, for datasets with separation. In this paper, we provide a short review of the concept of separation, and we discuss how common prior distributions like the Cauchy and normal prior perform in data with separation. Theoretical and empirical results suggest that lighter tailed prior distributions such as normal prior distributions can be a good default choice when there is separation. This article is categorized under: Statistical Learning and Exploratory Methods of the Data Sciences > Modeling Methods Statistical Models
Details
- Title: Subtitle
- Cauchy and other shrinkage priors for logistic regression in the presence of separation
- Creators
- Joyee Ghosh - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Wiley interdisciplinary reviews. Computational statistics, Vol.11(6), e1478
- Publisher
- Wiley
- DOI
- 10.1002/wics.1478
- ISSN
- 1939-0068
- eISSN
- 1939-0068
- Number of pages
- 8
- Grant note
- 1612763 / National Science Foundation; National Science Foundation (NSF)
- Language
- English
- Date published
- 11/01/2019
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257739202771
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