| Abstract: | In this article, we propose a new Bayesian variable selection (BVS) approach via the graphical model and the Ising model, which we refer to as the “Bayesian Ising graphical model” (BIGM). The BIGM is developed by showing that the BVS problem based on the linear regression model can be considered as a complete graph and described by an Ising model with random interactions. There are several advantages of our BIGM: it is easy to (i) employ the single-site updating and cluster updating algorithm, both of which are suitable for problems with small sample sizes and a larger number of variables, (ii) extend this approach to nonparametric regression models, and (iii) incorporate graphical prior information. In our BIGM, the interactions are determined by the linear model coefficients, so we systematically study the performance of different scale normal mixture priors for the model coefficients by adopting the global-local shrinkage strategy. Our results indicate that the best prior for the model coefficients in terms of variable selection should place substantial weight on small, nonzero shrinkage. The methods are illustrated with simulated and real data. Supplementary materials for this article are available online. |
