[R] Bayesian regression stepwise function?

[Frank E Harrell Jr]

Ravi Varadhan wrote:
> The stepAIC() function in "MASS" can be used, with k = log(n), to implement
> your suggestion of "quasi-Bayesian" stepwise selection using the BIC
> criterion.
> 
> Ravi.

Although many statisticians use BIC otherwise, it was only designed to 
compare two pre-specified models.

Frank

> 
> ----------------------------------------------------------------------------
> -------
> 
> Ravi Varadhan, Ph.D.
> 
> Assistant Professor, The Center on Aging and Health
> 
> Division of Geriatric Medicine and Gerontology 
> 
> Johns Hopkins University
> 
> Ph: (410) 502-2619
> 
> Fax: (410) 614-9625
> 
> Email: rvaradhan at jhmi.edu
> 
> Webpage:
> http://www.jhsph.edu/agingandhealth/People/Faculty_personal_pages/Varadhan.h
> tml
> 
>  
> 
> ----------------------------------------------------------------------------
> --------
> 
> 
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
> Behalf Of JLucke at ria.buffalo.edu
> Sent: Friday, October 23, 2009 2:31 PM
> To: Allan.Y
> Cc: r-help at r-project.org; r-help-bounces at r-project.org
> Subject: Re: [R] Bayesian regression stepwise function?
> 
> The BIC (Raftery) can be used for quasi-Bayesian model selection, but it's 
> not stepwise.   Ntzoufras shows how to use WinBUGS to conduct Bayesian 
> model selection, but again it's not stepwise
> 
> 
> Ntzoufras, I. (2002), 'Gibbs variable selection using BUGS', Journal of 
> Statistical Software 7(7), 1--19.
> Ntzoufras, I. (2009), Bayesian modeling using WinBUGS, Wiley, Hoboken, NJ.
> Raftery, A. E. (1995), 'Bayesian model selection in social research', 
> Sociological Methodology 25, 111-163.
> 
> 
> 
> 
> 
> 
> 
> "Allan.Y" <allany at cmu.edu> 
> Sent by: r-help-bounces at r-project.org
> 10/22/2009 01:09 PM
> 
> To
> r-help at r-project.org
> cc
> 
> Subject
> [R]  Bayesian regression stepwise function?
> 
> 
> 
> 
> 
> 
> 
> Hi everyone,
> 
> I am wondering if there exists a stepwise regression function for the
> Bayesian regression model.  I tried googling, but I couldn't find 
> anything. 
> I know "step" function exists for regular stepwise regression, but nothing
> for Bayes.
> 
> 
> Thanks


-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University