SSS swMATH ID: 7794 Software Authors: Hans, Chris; Dobra, Adrian; West, Mike Description: Shotgun stochastic search for “Large p” regression Model search in regression with very large numbers of candidate predictors raises challenges for both model specification and computation, for which standard approaches such as Markov chain Monte Carlo (MCMC) methods are often infeasible or ineffective. We describe a novel shotgun stochastic search (SSS) approach that explores ”interesting” regions of the resulting high-dimensional model spaces and quickly identifies regions of high posterior probability over models. We describe algorithmic and modeling aspects, priors over the model space that induce sparsity and parsimony over and above the traditional dimension penalization implicit in Bayesian and likelihood analyses, and parallel computation using cluster computers. We discuss an example from gene expression cancer genomics, comparisons with MCMC and other methods, and theoretical and simulation-based aspects of performance characteristics in large-scale regression model searches. We also provide software implementing the methods. Homepage: http://www.stat.osu.edu/~hans/sss/ Related Software: EMVS; glmnet; BayesDA; EBayesThresh; glasso; R; pi-MASS; HdBCS; BMSS; BDgraph; loo; bfa; BEAST; tsbridge; OpenBUGS; leaps; tilting; stabs; DistAl; bgsmtr Cited in: 39 Publications all top 5 Cited by 91 Authors 3 Dobra, Adrian 3 West, Mike 2 Chen, Minghui 2 Dellaportas, Petros 2 Elliott, Graham 2 Gargano, Antonio 2 Narisetty, Naveen Naidu 2 Ntzoufras, Ioannis 2 Timmermann, Allan G. 1 Ajdic, Dragana 1 Alexopoulos, Angelos 1 Alquier, Pierre 1 Andrade, Daniel 1 Bleich, Justin 1 Bottolo, Leonardo 1 Carvalho, Carlos Marinho 1 Castillo, Ismaël 1 Clarke, Bertrand S. 1 Clarke, Jennifer Lynn 1 Dey, Dipak Kumar 1 Dunson, David Brian 1 Forster, Jonathan J. 1 Fukumizu, Kenji 1 Gao, Chao 1 García-Donato, Gonzalo 1 George, Edward I. 1 Ghosal, Subhashis 1 Ghosh, Joyee 1 Ghosh, Satyajit 1 Goh, Gyuhyeong 1 Guedj, Benjamin 1 Gustafson, Paul 1 Hans, Chris 1 He, Xuming 1 Held, Leonhard 1 Hoegh, Andrew 1 Howard, Bondell 1 Jang, Woncheol 1 Jensen, Shane T. 1 Jin, Shiqiang 1 Kapelner, Adam 1 Kateri, Maria 1 Khare, Kshitij 1 Kim, Joungyoun 1 Kim, Yongdai 1 Kim, Youngseok 1 Kirsner, Daniel 1 Korobilis, Dimitris 1 Kuo, Lynn 1 Lefebvre, Geneviève 1 Leman, Scotland C. 1 Lewis, Paul O. 1 Lim, Johan 1 Lucas, Joseph Edward 1 Maiti, Dipayan 1 Martinez-Beneito, Miguel Angel 1 Massam, Helene M. 1 Michailidis, George C. 1 Mukherjee, Sach 1 Müller, Peter 1 Oates, Chris J. 1 Papathomas, Michail 1 Petralias, Athanassios 1 Pungpapong, Vitara 1 Richardson, Sylvia 1 Ročková, Veronika 1 Rosenthal, Jeffrey S. 1 Ryan, Martin 1 Sabanés Bové, Daniel 1 Sansó, Bruno 1 Schmidt-Hieber, Johannes 1 Shen, Juan 1 Shimizu, Kenichi 1 Speed, Doug 1 Staerk, Christian 1 Sun, Dongchu 1 Takeda, Akiko 1 Tan, Aixin 1 Tavaré, Simon 1 Turnbull, Bradley C. 1 Valdes, Camilo 1 Van der Vaart, Adrianus Willem 1 Wang, Hao 1 Wang, Yubo 1 Woodard, Dawn B. 1 Yang, Xinming 1 Ye, Keying 1 Zhang, Dabao 1 Zhang, Hao Helen 1 Zhang, Min 1 Zou, Fei all top 5 Cited in 23 Serials 5 The Annals of Applied Statistics 4 Journal of the American Statistical Association 3 The Annals of Statistics 3 Electronic Journal of Statistics 3 Journal of Computational and Graphical Statistics 2 Computational Statistics and Data Analysis 2 Statistics and Computing 1 Biometrics 1 Biometrika 1 Journal of Econometrics 1 Journal of Statistical Planning and Inference 1 Statistical Science 1 Journal of Economic Dynamics & Control 1 Computational Statistics 1 Journal of Statistical Computation and Simulation 1 Statistica Sinica 1 Journal of Machine Learning Research (JMLR) 1 Statistical Applications in Genetics and Molecular Biology 1 Statistical Methodology 1 Journal of the Korean Statistical Society 1 Statistical Analysis and Data Mining 1 Foundations and Trends in Econometrics 1 Bayesian Analysis all top 5 Cited in 9 Fields 39 Statistics (62-XX) 9 Numerical analysis (65-XX) 3 Computer science (68-XX) 3 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Probability theory and stochastic processes (60-XX) 1 Operations research, mathematical programming (90-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year