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Revision as of 14:13, 4 March 2024
Bayesian Variable Selection using Power-Expected-Posterior Prior
Language | Label | Description | Also known as |
---|---|---|---|
English | PEPBVS |
Bayesian Variable Selection using Power-Expected-Posterior Prior |
Statements
Performs Bayesian variable selection under normal linear models for the data with the model parameters following as prior either the power-expected-posterior (PEP) or the intrinsic (a special case of the former) (Fouskakis and Ntzoufras (2022) <doi:10.1214/21-BA1288>, Fouskakis and Ntzoufras (2020) <doi:10.3390/econometrics8020017>). The prior distribution on model space is the uniform on model space or the uniform on model dimension (a special case of the beta-binomial prior). The selection can be done either with full enumeration of all possible models or using the Markov Chain Monte Carlo Model Composition (MC3) algorithm (Madigan and York (1995) <doi:10.2307/1403615>). Complementary functions for making predictions, as well as plotting and printing the results are also provided.
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19 September 2023
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expanded from: GPL (≥ 2) (English)
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