Bayesian semiparametric regression: An exposition and application to print advertising data

Abstract

A new regression-based approach is proposed for modeling marketing databases. The approach is Bayesian and provides a number of significant improvements over current methods. Independent variables can enter into the model in either a parametric or nonparametric manner, significant variables can be identified from a large number of potential regressors, and an appropriate transformation of the dependent variable can be automatically selected from a discrete set of prespecified candidate transformations. All these features are estimated simultaneously and automatically using a Bayesian hierarchical model coupled with a Gibbs sampling scheme. Being Bayesian, it is straightforward to introduce s..