Criteria for Bayesian model choice with application to variable selection
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Other documents of the author: Forte Deltell, Anabel; Bayarri, M. Jesús; Berger, James O.; García-Donato Layrón, Gonzalo
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Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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Title
Criteria for Bayesian model choice with application to variable selectionAuthor (s)
Date
2012-09Publisher
Institute of Mathematical StatisticsType
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/publishedVersionSubject
Abstract
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. [-]
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Annals of Statistics, v. 40, n. 3 (2012)Rights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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- ECO_Articles [696]