Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior
利用数据驱动先验进行加性非参数回归的变量选择与函数估计
A hierarchical Bayesian approach is proposed for variable selection and function estimation in additive nonparametric Gaussian regression models and additive nonparametric binary regression models. The prior for each component function is an integrated Wiener process resulting in a posterior mean estimate that is a cubic smoothing spline. Each of the explanatory variables is allowed to be in or out of the model, and the regression functions are estimated by model averaging.…