Bayesian density regression
David B. Dunson,
Natesh Pillai and
Ju‐Hyun Park
Journal of the Royal Statistical Society Series B, 2007, vol. 69, issue 2, 163-183
Abstract:
Summary. The paper considers Bayesian methods for density regression, allowing a random probability distribution to change flexibly with multiple predictors. The conditional response distribution is expressed as a non‐parametric mixture of regression models, with the mixture distribution changing with predictors. A class of weighted mixture of Dirichlet process priors is proposed for the uncountable collection of mixture distributions. It is shown that this specification results in a generalized Pólya urn scheme, which incorporates weights that are dependent on the distance between subjects’ predictor values. To allow local dependence in the mixture distributions, we propose a kernel‐based weighting scheme. A Gibbs sampling algorithm is developed for posterior computation. The methods are illustrated by using simulated data examples and an epidemiologic application.
Date: 2007
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https://doi.org/10.1111/j.1467-9868.2007.00582.x
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:69:y:2007:i:2:p:163-183
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