Criteria for Bayesian model choice with application to variable selection
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Otros documentos de la autoría: Forte Deltell, Anabel; Bayarri, M. Jesús; Berger, James O.; García-Donato Layrón, Gonzalo
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Criteria for Bayesian model choice with application to variable selectionFecha de publicación
2012-09Editor
Institute of Mathematical StatisticsTipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
In objective Bayesian model selection, no single criterion has emerged as dominant in defining objective prior distributions. Indeed, many criteria have been separately proposed and utilized to propose differing prior ... [+]
In objective Bayesian model selection, no single criterion has emerged as dominant in defining objective prior distributions. Indeed, many criteria have been separately proposed and utilized to propose differing prior choices. We first formalize the most general and compelling of the various criteria that have been suggested, together with a new criterion. We then illustrate the potential of these criteria in determining objective model selection priors by considering their application to the problem of variable selection in normal linear models. This results in a new model selection objective prior with a number of compelling properties. [-]
Publicado en
Annals of Statistics, v. 40, n. 3 (2012)Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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