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On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression

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On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression. / Ghosh, Joyee; Li, Yingbo; Mitra, Robin.

In: Bayesian Analysis, Vol. 13, No. 2, 07.03.2017, p. 359-383.

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Ghosh, Joyee ; Li, Yingbo ; Mitra, Robin. / On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression. In: Bayesian Analysis. 2017 ; Vol. 13, No. 2. pp. 359-383.

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@article{ddbf1a8f89254e289d4a8f0fed038b7a,
title = "On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression",
abstract = "In logistic regression, separation occurs when a linear combination of the predictors can perfectly classify part or all of the observations in the sample, and as a result, finite maximum likelihood estimates of the regression coefficients do not exist. Gelman et al. (2008) recommended independent Cauchy distributions as default priors for the regression coefficients in logistic regression, even in the case of separation, and reported posterior modes in their analyses. As the mean does not exist for the Cauchy prior, a natural question is whether the posterior means of the regression coefficients exist under separation. We prove theorems that provide necessary and sufficient conditions for the existence of posterior means under independent Cauchy priors for the logit link and a general family of link functions, including the probit link. We also study the existence of posterior means under multivariate Cauchy priors. For full Bayesian inference, we develop a Gibbs sampler based on P{\'o}lya-Gamma data augmentation to sample from the posterior distribution under independent Student-t priors including Cauchy priors, and provide a companion R package tglm, available at CRAN. We demonstrate empirically that even when the posterior means of the regression coefficients exist under separation, the magnitude of the posterior samples for Cauchy priors may be unusually large, and the corresponding Gibbs sampler shows extremely slow mixing. While alternative algorithms such as the No-U-Turn Sampler (NUTS) in Stan can greatly improve mixing, in order to resolve the issue of extremely heavy tailed posteriors for Cauchy priors under separation, one would need to consider lighter tailed priors such as normal priors or Student-t priors with degrees of freedom larger than one.",
keywords = "binary regression , existence of posterior mean , Markov chain Monte Carlo, probit regression , separation, slow mixing",
author = "Joyee Ghosh and Yingbo Li and Robin Mitra",
year = "2017",
month = mar,
day = "7",
doi = "10.1214/17-BA1051",
language = "English",
volume = "13",
pages = "359--383",
journal = "Bayesian Analysis",
issn = "1936-0975",
publisher = "Carnegie Mellon University",
number = "2",

}

RIS

TY - JOUR

T1 - On the Use of Cauchy Prior Distributions for Bayesian Logistic Regression

AU - Ghosh, Joyee

AU - Li, Yingbo

AU - Mitra, Robin

PY - 2017/3/7

Y1 - 2017/3/7

N2 - In logistic regression, separation occurs when a linear combination of the predictors can perfectly classify part or all of the observations in the sample, and as a result, finite maximum likelihood estimates of the regression coefficients do not exist. Gelman et al. (2008) recommended independent Cauchy distributions as default priors for the regression coefficients in logistic regression, even in the case of separation, and reported posterior modes in their analyses. As the mean does not exist for the Cauchy prior, a natural question is whether the posterior means of the regression coefficients exist under separation. We prove theorems that provide necessary and sufficient conditions for the existence of posterior means under independent Cauchy priors for the logit link and a general family of link functions, including the probit link. We also study the existence of posterior means under multivariate Cauchy priors. For full Bayesian inference, we develop a Gibbs sampler based on Pólya-Gamma data augmentation to sample from the posterior distribution under independent Student-t priors including Cauchy priors, and provide a companion R package tglm, available at CRAN. We demonstrate empirically that even when the posterior means of the regression coefficients exist under separation, the magnitude of the posterior samples for Cauchy priors may be unusually large, and the corresponding Gibbs sampler shows extremely slow mixing. While alternative algorithms such as the No-U-Turn Sampler (NUTS) in Stan can greatly improve mixing, in order to resolve the issue of extremely heavy tailed posteriors for Cauchy priors under separation, one would need to consider lighter tailed priors such as normal priors or Student-t priors with degrees of freedom larger than one.

AB - In logistic regression, separation occurs when a linear combination of the predictors can perfectly classify part or all of the observations in the sample, and as a result, finite maximum likelihood estimates of the regression coefficients do not exist. Gelman et al. (2008) recommended independent Cauchy distributions as default priors for the regression coefficients in logistic regression, even in the case of separation, and reported posterior modes in their analyses. As the mean does not exist for the Cauchy prior, a natural question is whether the posterior means of the regression coefficients exist under separation. We prove theorems that provide necessary and sufficient conditions for the existence of posterior means under independent Cauchy priors for the logit link and a general family of link functions, including the probit link. We also study the existence of posterior means under multivariate Cauchy priors. For full Bayesian inference, we develop a Gibbs sampler based on Pólya-Gamma data augmentation to sample from the posterior distribution under independent Student-t priors including Cauchy priors, and provide a companion R package tglm, available at CRAN. We demonstrate empirically that even when the posterior means of the regression coefficients exist under separation, the magnitude of the posterior samples for Cauchy priors may be unusually large, and the corresponding Gibbs sampler shows extremely slow mixing. While alternative algorithms such as the No-U-Turn Sampler (NUTS) in Stan can greatly improve mixing, in order to resolve the issue of extremely heavy tailed posteriors for Cauchy priors under separation, one would need to consider lighter tailed priors such as normal priors or Student-t priors with degrees of freedom larger than one.

KW - binary regression

KW - existence of posterior mean

KW - Markov chain Monte Carlo

KW - probit regression

KW - separation

KW - slow mixing

U2 - 10.1214/17-BA1051

DO - 10.1214/17-BA1051

M3 - Journal article

VL - 13

SP - 359

EP - 383

JO - Bayesian Analysis

JF - Bayesian Analysis

SN - 1936-0975

IS - 2

ER -