Posterior model consistency in variable selection as the model dimension grows

DOI10.1214/14-STS508zbMath1332.62100arXiv1507.08041MaRDI QIDQ254450

George Casella, Elías Moreno, Fco. Javier Girón

Publication date: 8 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.08041

zbMATH Keywords

Bayes factorsvariable selectionintrinsic priors\(g\)-priorsBernoulli model priorshierarchical uniform model priorposterior model consistencyrate of growth of the number of regressors

Mathematics Subject Classification ID

Bayesian inference (62F15)

Related Items

Bayesian and frequentist evidence in one-sided hypothesis testing, Bayes factor asymptotics for variable selection in the Gaussian process framework, Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters, Cost-effectiveness analysis for heterogeneous samples, The Spike-and-Slab LASSO, An exact approach to ridge regression for big data, Bayesian Model Selection in Additive Partial Linear Models Via Locally Adaptive Splines, Objective Bayesian model choice for non-nested families: the case of the Poisson and the negative binomial, Information consistency of the Jeffreys power-expected-posterior prior in Gaussian linear models, Statistical Issues in Bayesian Meta-Analysis, Consistency of Bayes factor for nonnested model selection when the model dimension grows, Consistency of Bayes factors under hyper \(g\)-priors with growing model size

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