Bayesian Variable Selection in Double Generalized Linear Tweedie Spatial Process Models

Author:

Halder AritraORCID,Mohammed ShariqORCID,Dey Dipak K.ORCID

Abstract

Double generalized linear models provide a flexible framework for modeling data by allowing the mean and the dispersion to vary across observations. Common members of the exponential dispersion family including the Gaussian, Poisson, compound Poisson-gamma (CP-g), Gamma and inverse-Gaussian are known to admit such models. The lack of their use can be attributed to ambiguities that exist in model specification under a large number of covariates and complications that arise when data display complex spatial dependence. In this work we consider a hierarchical specification for the CP-g model with a spatial random effect. The spatial effect is targeted at performing uncertainty quantification by modeling dependence within the data arising from location based indexing of the response. We focus on a Gaussian process specification for the spatial effect. Simultaneously, we tackle the problem of model specification for such models using Bayesian variable selection. It is effected through a continuous spike and slab prior on the model parameters, specifically the fixed effects. The novelty of our contribution lies in the Bayesian frameworks developed for such models. We perform various synthetic experiments to showcase the accuracy of our frameworks. They are then applied to analyze automobile insurance premiums in Connecticut, for the year of 2008.

Publisher

New England Statistical Society

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Editorial. Modern Bayesian Methods with Applications in Data Science;The New England Journal of Statistics in Data Science;2023

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