[R] Bayesian regression stepwise function?

[Peter Flom]

Frank E Harrell Jr <f.harrell at vanderbilt.edu> wrote
>Ben Bolker wrote:
>> 
>> 
>> Allan.Y wrote:
>>> Hi everyone,
>>>
>>> I am wondering if there exists a stepwise regression function for the
>>> Bayesian regression model.  I tried googling, but I couldn't find
>>> anything.  I know "step" function exists for regular stepwise regression,
>>> but nothing for Bayes.
>>>
>> 
>> Why?  That seems so ... un-Bayesian ...
>
>Exactly.  I hope it doesn't exist.  The beauty of Bayes is shrinkage, 
>borrowing of information, and statement of results in an intuitive way.


Yeah.
Asking for stepwise in Bayesian analysis is like asking for some nuclear waste on your ice cream sundae.

Peter

Peter L. Flom, PhD
Statistical Consultant
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