Advances in Bayesian model selection consistency for high-dimensional generalized linear models

The Annals of Statistics · 2025 · Volume 53 · Issue 5

Abstract

Uncovering genuine relationships between a response variable and a large collection of covariates is a fundamental and practically important problem. In the context of Gaussian linear models, both the Bayesian and non-Bayesian literature is well-developed and there are no substantial differences in the model selection consistency results available from the two schools. For generalized linear models (GLMs), however, Bayesian model selection consistency results are lacking in several ways. In this paper, we construct a Bayesian posterior distribution using an appropriate data-dependent prior and develop its asymptotic concentration properties using new theoretical techniques. In particular, we leverage Spokoiny’s powerful nonasymptotic theory to obtain sharp quadratic approximations of the GLM’s log-likelihood function, which leads to tight bounds on the errors associated with the model-specific maximum likelihood estimators and the Laplace approximation of our Bayesian marginal likelihood. In turn, these improved bounds lead to significantly stronger, near-optimal Bayesian model selection consistency results, for example, far weaker beta-min conditions, compared to those available in the existing literature. In particular, our results are applicable to the Poisson regression model, in which the score function is not sub-Gaussian.

Keywords

62E17, 62E20, 62F15, Bayesian model selection consistency, Beta-min condition, Laplace approximation, logistic regression, Poisson regression

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