Article,

A frequentist assessment of Bayesian inclusion probabilities for screening predictors

, and .
Journal of Statistical Computation and Simulation, 81 (9): 1111--1119 (September 2011)
DOI: 10.1080/00949651003702135

Abstract

Bayesian inclusion probabilities have become a popular tool for variable assessment. From a frequentist perspective, it is often difficult to evaluate these probabilities as typically no Type I error rates are considered, neither are any explorations of power of the methods given. This paper considers how a frequentist may evaluate Bayesian inclusion probabilities for screening predictors. This evaluation looks at both unrestricted and restricted model spaces and develops a framework which a frequentist can utilize inclusion probabilities that preserve Type I error rates. Furthermore, this framework is applied to an analysis of the Arabidopsis thaliana with respect to determining quantitative trait loci associated with cotelydon opening angle.

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