Bayesian linear regression

E200667

Bayesian linear regression is a statistical modeling approach that treats regression coefficients and predictions probabilistically by placing prior distributions on parameters and updating them with observed data.

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Bayesian linear regression canonical 2

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Predicate Object
instanceOf Bayesian method
regression method
statistical model
supervised learning method
assumes linear relationship between predictors and response
basedOn Bayes’ theorem
surface form: Bayes' theorem
belongsTo Bayesian statistics
probabilistic modeling
canBeEstimatedBy Gibbs sampling
Laplace method
surface form: Laplace approximation

Markov chain Monte Carlo
variational inference
canUse Laplace prior on coefficients
sparse priors for variable selection
spike-and-slab prior
contrastsWith frequentist linear regression
generalizes ordinary least squares with flat priors
handles multicollinearity via shrinkage priors
small sample sizes via informative priors
isUsedFor model comparison
parameter estimation
prediction with uncertainty
isUsedIn biostatistics
econometrics
engineering
machine learning
models relationship between predictors and response
oftenAssumes Gaussian noise on observations
oftenUses Gaussian prior on regression coefficients
conjugate priors
normal-inverse-Wishart prior
normal-inverse-gamma prior
outputs posterior covariance of coefficients
posterior mean of coefficients
produces posterior distribution of regression coefficients
posterior predictive distribution for new observations
provides credible intervals for regression coefficients
full uncertainty quantification for parameters
predictive intervals for responses
requires specification of likelihood function
specification of prior distributions
supports Bayesian model averaging
Bayesian model selection
regularization via priors
treats predictions as random variables
regression coefficients as random variables
uses likelihood function from observed data
prior distribution on regression coefficients
yields closed-form posterior with conjugate priors

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Bayesian inference appliesTo Bayesian linear regression
Gibbs sampling usedIn Bayesian linear regression