Paired-move multiple-try stochastic search for Bayesian variable selection

Abstract

Variable selection is a key issue when analyzing high-dimensional data. The explosion of data with large sample sizes and dimensionality brings new challenges to this problem in both inference accuracy and computational complexity. To alleviate these problems, we propose a new scalable Markov chain Monte Carlo (MCMC) sampling algorithm for "large $p$ small $n$" scenarios by generalizing multiple-try Metropolis to discrete model spaces and further incorporating neighborhood-based stochastic search. The proof of reversibility of the proposed MCMC algorithm is provided. Extensive simulation studies are performed to examine the efficiency of the new algorithm compared with existing methods. A real data example is provided to illustrate the prediction performances of the new algorithm.