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Bayesian Models for Sparse Regression Analysis of High Dimensional Data * University Press Scholarship Online Oxford Scholarship Online Bayesian Statistics 9 José M. Bernardo, M. J. Bayarri, James O. Berger, A. P. Dawid, David Heckerman, Adrian F. M. Smith, and Mike West Print publication date: 2011 Print ISBN-13: 9780199694587 Published to Oxford Scholarship Online: January 2012 DOI: 10.1093/acprof:oso/9780199694587.001.0001 Bayesian Models for Sparse Regression Analysis of High Dimensional Data * Sylvia Richardson Leonardo Bottolo Jeffrey S. Rosenthal DOI:10.1093/acprof:oso/9780199694587.003.0018 Abstract and Keywords This paper considers the task of building efficient regre ion models for sparse multivariate analysis of high dimensional data sets, in particular it focuses on cases where the numbers q of responses Y = ( y ,1 ≤ k ≤ q) and p of predictors X = ( x , 1 ≤ j ≤ p) k j to analyse jointly are both large with respect to the sample size n, a challenging bi‐ directional task. The analysis of such data sets arise commonly in genetical genomics, with X linked to the DNA characteristics and Y corresponding to measurements of fundamental biological proce es such as transcription, protein or metabolite production. Building on the Bayesian variable selection set‐up for the linear model and a ociated efficient MCMC algorithms developed for single responses, we discu the generic framework of hierarchical related sparse regre ions, where parallel regre ions of y k Page 1 of 35 Bayesian Models for Sparse Regression Analysis of High Dimensional Data * on the set of covariates X are linked in a hierarchical fashion, in particular through the prior model of the variable selection indicators γ , which indicate among the covariate