Bayesian variable selection with spherically symmetric priors

DOI10.1080/03610926.2015.1081945MaRDI QIDQ4975132zbMATH OpenOpenAlexFDO

Authors Michiel B. de Kock, Hans C. Eggers

Publication date 3 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.0891

zbMATH Keywords

AICBICcanonical linear regressionGaussian hypergeometric functionsmodel selectionnon informative priorsZellner's \(g\)-priorZellner-Siow priors

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15)

Abstract: We propose that Bayesian variable selection for linear parametrisations with Gaussian iid likelihoods be based on the spherical symmetry of the diagonalised parameter space. Our r-prior results in closed forms for the evidence for four examples, including the hyper-g prior and the Zellner-Siow prior, which are shown to be special cases. Scenarios of a single variable dispersion parameter and of fixed dispersion are studied, and asymptotic forms comparable to the traditional information criteria are derived. A simulation exercise shows that model comparison based on our r-prior gives good results comparable to or better than current model comparison schemes.

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Cited in

(6)

• Bayesian estimation for spherically symmetric distributions
• Bayesian variable selection in linear regression
• Bayesian inference of a parametric random spheroid from its orthogonal projections
• Robust Bayesian variable selection in linear models with spherically symmetric errors
• Spherically symmetric multivariate beta family kernels
• scientific article; zbMATH DE number 1424395 (Why is no real title available?)

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