Sparse high-dimensional linear regression with a partitioned empirical Bayes ECM algorithm

• URL: http://arxiv.org/abs/2209.08139v4
• Date: Fri, 5 May 2023 16:39:30 GMT
• Title: Sparse high-dimensional linear regression with a partitioned empirical Bayes ECM algorithm
• Authors: Alexander C. McLain, Anja Zgodic, and Howard Bondell
• Abstract summary: We propose a computationally efficient and powerful Bayesian approach for sparse high-dimensional linear regression. Minimal prior assumptions on the parameters are used through the use of plug-in empirical Bayes estimates. The proposed approach is implemented in the R package probe.
• Score: 62.997667081978825
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Bayesian variable selection methods are powerful techniques for fitting and inferring on sparse high-dimensional linear regression models. However, many are computationally intensive or require restrictive prior distributions on model parameters. In this paper, we proposed a computationally efficient and powerful Bayesian approach for sparse high-dimensional linear regression. Minimal prior assumptions on the parameters are used through the use of plug-in empirical Bayes estimates of hyperparameters. Efficient maximum a posteriori (MAP) estimation is completed through a Parameter-Expanded Expectation-Conditional-Maximization (PX-ECM) algorithm. The PX-ECM results in a robust computationally efficient coordinate-wise optimization, which adjusts for the impact of other predictor variables. The completion of the E-step uses an approach motivated by the popular two-groups approach to multiple testing. The result is a PaRtitiOned empirical Bayes Ecm (PROBE) algorithm applied to sparse high-dimensional linear regression, which can be completed using one-at-a-time or all-at-once type optimization. We compare the empirical properties of PROBE to comparable approaches with numerous simulation studies and an analysis of cancer cell lines drug response study. The proposed approach is implemented in the R package probe.

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