In this article, we develop a Bayesian variable selection method that concerns selection of covariates in the Poisson change-point regression model with both discrete and continuous candidate covariates. Ranging from a null model with no selected covariates to a full model including all covariates, the Bayesian variable selection method searches the entire model space, estimates posterior inclusion probabilities of covariates, and obtains model averaged estimates on coefficients to covariates, while simultaneously estimating a time-varying baseline rate due to change-points. For posterior computation, the Metropolis-Hastings within partially collapsed Gibbs sampler is developed to efficiently fit the Poisson change-point regression model with variable selection. We illustrate the proposed method using simulated and real datasets.
|Number of pages||16|
|Journal||Communications in Statistics: Simulation and Computation|
|Publication status||Published - 2017 Mar 16|
Bibliographical notePublisher Copyright:
© 2017 Taylor & Francis Group, LLC.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modelling and Simulation