informative stronggstrong-priors for logistic regression.pdfVIP

Informative -Priors for Logistic Regression a b c Timothy E. Hanson , Adam J. Branscum , Wesley O. Johnson aDepartment of Statistics, University of South Carolina, Columbia, SC 29208, USA bBiostatistics Program, Oregon State University, Corvallis, OR 97331, USA cDepartment of Statistics, University of California, Irvine, CA 92697, USA Abstract Eliciting information from experts for use in constructing prior distributions for logistic regression coefficients can be challenging. The task is especially difficult when the model contains many predictor variables, because the expert is asked to provide summary information about the probability of “success” for many sub- groups of the population. Often, however, experts are confident only in their as- sessment of the population as a whole. This paper is about incorporating such overall, marginal or averaged, information easily into a logistic regression data analysis by using -priors. We present a version of the -prior such that the prior distribution on the probability of success can be set to closely match a beta dis- tribution, when averaged over the set of predictors in a logistic regression. A simple data augmentation formulation that can be implemented in standard statis- tical software packages shows how population-averaged prior information can be used in non-Bayesian contexts. Keywords: Binomial regression, Generalized linear model, Population averaged inference, Prior elicitation Preprint submitted to Bayesian Analysis June 20, 2013 1. Introduction Zellner (1983) introduced the -prior as a reference or default prior for use with Gaussian linear regression models. Recently, variants of the -prior have been proposed for use with generalized linear models (e.g.,