Iterated Block Gibbs Sampler for Ultrahigh-Dimensional Variable Selection and Model Averaging
Overview
Variable selection for generalized linear models and the Cox proportional-hazards model in ultrahigh dimensions via the iterated block Gibbs sampler (IBGS). The sampler is implemented in C with parallel block screening through 'OpenMP', and supports the gaussian, binomial and poisson families (fitted by least squares or iteratively reweighted least squares) as well as the Cox model for survival analysis (fitted by its Efron partial likelihood), together with the AIC, BIC, AICc and extended BIC model selection criteria.
Initial CRAN release.
Variable selection
- Iterated block Gibbs samplers with screen–select–threshold refinement (
glmIBGS(),coxIBGS(),lmeIBGS()) and matching plain block Gibbs samplers (glmGibbs(),coxGibbs(),lmeGibbs()) for ultrahigh-dimensional problems. - Families: gaussian, binomial and poisson generalized linear models (least squares / iteratively reweighted least squares), the Cox proportional-hazards model (Efron partial likelihood), and linear mixed models.
- Model selection by
AIC,BIC,AICcor extended BIC (exBIC).
Sampler controls
start = c("null", "full")sets the initial model of the Gibbs chain(s); the default"null"starts from the empty model and grows, avoiding the ill-conditioned full-model start.
Show all changes in 1.0.0Hide the rest of the changes in 1.0.0
permute = TRUE(the default) draws a fresh random coordinate permutation (Fisher–Yates) each Gibbs sweep, so every coordinate is updated exactly once per sweep;permute = FALSErestores a fixed in-order sweep.glmGibbs()/glmIBGS()accept an opt-infast = TRUEfor the binomial/poisson families, scoring each single-coordinate proposal with one warm-started IRLS step and re-fitting only accepted models to full convergence (reported criteria and coefficients stay exact).- Parallel block screening through 'OpenMP' (
n.cores) and an optional near-collinearity guard (cor.check).
Model averaging
- Each fit retains the best
n.modelsmodels, summarized in C so the returned object stays compact even for thousands of predictors. predict(),fitted()andcoef()average over the retained models with smooth-SIC (BMA-style) weights, on the link or response scale; a single retained model can be selected withaverage = FALSE. Conditional prediction with random-effect BLUPs is available forlmefits.
Object methods and diagnostics
print()andsummary()for the fit, with selected-variable and top-model tables and a convergence-diagnostics block.plot()dispatches to the diagnostics, also exported individually:plotICtrace()(criterion trace),plotMargProb()(marginal inclusion probabilities as a dot-and-whisker plot),plotModelFreq()(top-model visit frequencies),plotGelman()andplotAutocorr().plotMargProb()andplotModelFreq()accepthorizontal = TRUEfor a horizontal layout.- Convergence diagnostics computed in C: the Gelman–Rubin shrink-factor evolution, the Geweke z-statistic, the effective sample size, and the autocorrelation of the criterion trace.
C backend
- The sampler is implemented in C with parallel block screening through 'OpenMP'.
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK6 OK2026-07-05
Documentation
- Help pages
- 18includes a package overview page
- Examples that run
- 100%9 run in a plain check
- Exported functions with examples
- 55%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 6%
Downloads
Dependencies
Installing IBGS adds no packages beyond those that come with R.
Code & Tests
People & History
- 1.0.0Latest2026-07-04 · current release
- RR 4.6.0 released · 2026-04-24
Package metadata
- First published
- 2026-07-04
- Total releases
- 1 / 1 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 3.5.0
- Download size
- 148 KB
Cite
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