Bayesian Group Regularization in Generalized Linear Models with a Continuous Spike-and-Slab Prior (2007.07021v6)

Abstract: We study Bayesian group-regularized estimation in high-dimensional generalized linear models (GLMs) under a continuous spike-and-slab prior. Our framework covers both canonical and non-canonical link functions and subsumes logistic regression, Poisson regression, Gaussian regression, and negative binomial regression with group sparsity. Under milder assumptions than those previously assumed for the group lasso, we obtain the convergence rate for both the maximum a posteriori (MAP) estimator and the full posterior distribution. Our theoretical results thus justify the use of the posterior mode as a point estimator. Furthermore, the posterior distribution contracts at the same rate as the MAP estimator, an attractive feature of our approach which is not the case for the group lasso. For computation, we propose an expectation-maximization (EM) algorithm for rapidly obtaining MAP estimates under our model. We illustrate our method through simulations and a real data application on predicting human immunodeficiency virus (HIV) drug resistance from protein sequences.