5
votes
1answer
117 views

A Bayesian perspective on omitted-variable bias (and other covariate-selection bias problems)

As I know OVB, from a frequentist education, when you leave a variable $(z)$ out of your control set $(X)$ that is correlated with both your independent variable of interest (treatment $T$) and your ...
11
votes
2answers
444 views

Bayesian variable selection — does it really work?

I thought I might toy with some Bayesian variable selection, following a nice blog post and the linked papers therein. I wrote a program in rjags (where I am quite a rookie) and fetched price data ...
2
votes
1answer
136 views

Determining conserved features using a Bayesian approach

I would like to perform some sort of binary classification, and my data set consists of 100 examples (for each class), which are vectors with 2500 elements. Ideally, I would like to determine which ...
3
votes
1answer
256 views

Why can't Bayesian variable selection be used with categorical variables with more than 2 levels?

I am reading this article which is the first approach on Bayesian variable selection. In the discussion section it says that one of the major limitations of the particular method is that it cannot be ...
11
votes
2answers
739 views

Best approach for model selection Bayesian or cross-validation?

When trying to select among various models or the number of features to include for, say prediction I can think of two approaches. Split the data into training and test sets. Better still, use ...