Sparse Bayesian multinomial probit regression model with correlation prior for high-dimensional data classification

Selecting a small number of relevant genes for cancer classification has received a great deal of attention in microarray data analysis. In this paper, a sparse Bayesian multinomial probit regression model with correlation prior is proposed. Based on simulated and real datasets, we demonstrate that the proposed method performs better than five other competing methods in terms of variable selection and classification. (C) 2016 Elsevier B.V. All rights reserved.