Information consistency of the Jeffreys power-expected-posterior prior in Gaussian linear models

DOI10.1007/S40300-017-0110-6MaRDI QIDQ1689538zbMATH OpenOpenAlexFDO

Authors D. Fouskakis, I. Ntzoufras

Publication date 12 January 2018

Published in Metron (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40300-017-0110-6

zbMATH Keywords

Bayes factorsBayesian variable selectionexpected-posterior priorsGaussian linear modelsimaginary training samplesinformation consistencyobjective model selection methodspower-expected-posterior priors

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05)

Recommendations

• Limiting behavior of the Jeffreys power-expected-posterior Bayes factor in Gaussian linear models
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• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
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• On the consistency among prior, posteriors, and information sets (extended abstract)
• Posterior consistency in linear models under shrinkage priors
• Power-expected-posterior prior Bayes factor consistency for nested linear models with increasing dimensions

Cites work

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• Expected-posterior prior distributions for model selection
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• Mixtures of g Priors for Bayesian Variable Selection
• Objective Bayesian Variable Selection
• Posterior model consistency in variable selection as the model dimension grows
• Power-expected-posterior priors for variable selection in Gaussian linear models
• The Intrinsic Bayes Factor for Model Selection and Prediction
• Training samples in objective Bayesian model selection.

Cited in

(10)

• Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
• Prior distributions for objective Bayesian analysis
• Power-expected-posterior priors for generalized linear models
• Learning Markov equivalence classes of directed acyclic graphs: an objective Bayes approach
• Does Jeffrey's prior alleviate the incidental parameter problem?
• Variations of power-expected-posterior priors in normal regression models
• Priors via imaginary training samples of sufficient statistics for objective Bayesian hypothesis testing
• Power-expected-posterior priors for variable selection in Gaussian linear models
• Limiting behavior of the Jeffreys power-expected-posterior Bayes factor in Gaussian linear models
• Power-expected-posterior priors as mixtures of \(g\)-priors in normal linear models

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