Criteria for Bayesian model choice with application to variable selection
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Altres documents de l'autoria: 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 selectionData de publicació
2012-09Editor
Institute of Mathematical StatisticsTipus de document
info:eu-repo/semantics/articleVersió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
Annals of Statistics, v. 40, n. 3 (2012)Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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