Bayesian shrinkage methods for partially observed data with many predictors

Abstract

Motivated by the increasing use of and rapid changes in array technologies, we consider the prediction problem of fitting a linear regression relating a continuous outcome Y to a large number of covariates X, for example, measurements from current, state-of-the-art technology. For most of the samples, only the outcome Y and surrogate covariates, W, are available. These surrogates may be data from prior studies using older technologies. Owing to the dimension of the problem and the large fraction of missing information, a critical issue is appropriate shrinkage of model parameters for an optimal bias-variance trade-off. We discuss a variety of fully Bayesian and Empirical Bayes algorithms which account for uncertainty in the missing data and adaptively shrink parameter estimates for superior prediction. These methods are evaluated via a comprehensive simulation study. In addition, we apply our methods to a lung cancer data set, predicting survival time (Y) using qRTPCR (X) and microarray (W) measurements. © Institute of Mathematical Statistics, 2013.