Using prior-data conflict to tune Bayesian regularized regression models

In high-dimensional regression models, variable selection becomes challenging from a computational and theoretical perspective. Bayesian regularized regression via shrinkage priors like the Laplace or spike-and-slab prior are effective methods for variable selection in p>n scenarios provided the shrinkage priors are configured adequately. We propose an empirical Bayes configuration using checks for prior-data conflict: tests that assess whether there is disagreement in parameter information provided by the prior and data. We apply our proposed method to the Bayesian LASSO and spike-and-slab shrinkage priors in the linear regression model and assess the variable selection performance of our prior configurations through a high-dimensional simulation study. Additionally, we apply our method to proteomic data collected from patients admitted to the Albany Medical Center in Albany NY in April of 2020 with COVID-like respiratory issues. Simulation results suggest our proposed configurations may outperform competing models when the true regression effects are small.