Application of Bayesian variable selection in logistic regression model

Typically, in high dimensional data sets, many covariates are not significantly associated with a response. Moreover, those covariates are highly correlated, leading to a multicollinearity problem. Hence, the model is sparse since the coefficient of most covariates are likely to be zero. The classical frequentist or likelihood-based variable selection via any criterion such as Bayesian Information Criteria (BIC) and Akaike Information Criteria (AIC) or a stepwise subset selection becomes infeasible when the number of variables are large. An alternative solution is a Bayesian variable selection. In this study, we used a variable selection via a Bayesian variable selection and the least absolute shrinkage and selection operator (LASSO) method in the logistic regression model. Moreover, those methods were expanded to be applied to real datasets.