Adaptive prior weighting in generalized regression. Issue 1 (18th May 2016)

• Record Type: Journal Article
• Authors: Held, Leonhard; Sauter, Rafael
• Is Part Of: Biometrics. Volume 73:Issue 1(2017)
• Page Start: 242
• Page End: 251
• Publication Date: 2016-05-18
• Subjects: Generalized regression -- g‐prior -- Hyper‐g prior -- INLA -- Prior‐data conflict -- Prior weight; Biometry -- Periodicals; 570.15195
• DOI: 10.1111/biom.12541
• Languages: English
• ISSNs: 0006-341X

Abstract

Summary: The prior distribution is a key ingredient in Bayesian inference. Prior information on regression coefficients may come from different sources and may or may not be in conflict with the observed data. Various methods have been proposed to quantify a potential prior‐data conflict, such as Box's p ‐value. However, there are no clear recommendations how to react to possible prior‐data conflict in generalized regression models. To address this deficiency, we propose to adaptively weight a prespecified multivariate normal prior distribution on the regression coefficients. To this end, we relate empirical Bayes estimates of prior weight to Box's p ‐value and propose alternative fully Bayesian approaches. Prior weighting can be done for the joint prior distribution of the regression coefficients or—under prior independence—separately for prespecified blocks of regression coefficients. We outline how the proposed methodology can be implemented using integrated nested Laplace approximations (INLA) and illustrate the applicability with a Bayesian logistic regression model for data from a cross‐sectional study. We also provide a simulation study that shows excellent performance of our approach in the case of prior misspecification in terms of root mean squared error and coverage. Supplementary Materials give details on software implementation and code and another application to binary longitudinal data from a randomized clinical trial using a Bayesian generalized linear mixed model.