Limiting behavior of the Jeffreys power-expected-posterior Bayes factor in Gaussian linear models

DOI10.1214/15-BJPS281MaRDI QIDQ292943zbMATH OpenOpenAlexFDO

Authors I. Ntzoufras, D. Fouskakis

Publication date 9 June 2016

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.2435, https://projecteuclid.org/euclid.bjps/1459429714

zbMATH Keywords

Bayes factorsBayesian variable selectionconsistencyexpected-posterior priorsGaussian linear modelsobjective model selection methodspower priorpower-expected-posterior priorstraining sampleunit-information prior

Mathematics Subject Classification ID

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

Abstract: Expected-posterior priors (EPP) have been proved to be extremely useful for testing hypothesis on the regression coefficients of normal linear models. One of the advantages of using EPPs is that impropriety of baseline priors causes no indeterminacy. However, in regression problems, they based on one or more extit{training samples}, that could influence the resulting posterior distribution. The power-expected-posterior priors are minimally-informative priors that diminishing the effect of training samples on the EPP approach, by combining ideas from the power-prior and unit-information-prior methodologies. In this paper we show the consistency of the Bayes factors when using the power-expected-posterior priors, with the independence Jeffreys (or reference) prior as a baseline, for normal linear models under very mild conditions on the design matrix.

Recommendations

• Information consistency of the Jeffreys power-expected-posterior prior in Gaussian linear models
• Power-expected-posterior priors for variable selection in Gaussian linear models
• Consistency of Bayes factors for intrinsic priors in normal linear models
• Variations of power-expected-posterior priors in normal regression models
• On Bayes factors for the linear model

Cites work

• A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Consistency of Bayesian procedures for variable selection
• Estimating the dimension of a model
• Expected-posterior prior distributions for model selection
• scientific article; zbMATH DE number 3716572 (Why is no real title available?)
• scientific article; zbMATH DE number 3791441 (Why is no real title available?)
• scientific article; zbMATH DE number 720676 (Why is no real title available?)
• Mixtures of g Priors for Bayesian Variable Selection
• Power-expected-posterior priors for variable selection in Gaussian linear models

Cited in

(9)

• Prior distributions for objective Bayesian analysis
• Power-expected-posterior priors for generalized linear models
• Information consistency of the Jeffreys power-expected-posterior prior in Gaussian linear models
• Variations of power-expected-posterior priors in normal regression models
• Priors via imaginary training samples of sufficient statistics for objective Bayesian hypothesis testing
• Consistency of Bayes factors for intrinsic priors in normal linear models
• Power-expected-posterior priors for variable selection in Gaussian linear models
• Power-expected-posterior prior Bayes factor consistency for nested linear models with increasing dimensions
• Power-expected-posterior priors as mixtures of \(g\)-priors in normal linear models

This page was built for publication: Limiting behavior of the Jeffreys power-expected-posterior Bayes factor in Gaussian linear models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292943)