Bayesian Approximate Kernel Regression with Variable Selection.

ABSTRACT: Nonlinear kernel regression models are often used in statistics and machine learning because they are more accurate than linear models. Variable selection for kernel regression models is a challenge partly because, unlike the linear regression setting, there is no clear concept of an effect size for regression coefficients. In this paper, we propose a novel framework that provides an effect size analog for each explanatory variable in Bayesian kernel regression models when the kernel is shift-invariant - for example, the Gaussian kernel. We use function analytic properties of shift-invariant reproducing kernel Hilbert spaces (RKHS) to define a linear vector space that: (i) captures nonlinear structure, and (ii) can be projected onto the original explanatory variables. This projection onto

SUBMITTER: Crawford L 

PROVIDER: S-EPMC6383716 | biostudies-literature | 2018

REPOSITORIES: biostudies-literature