Bayes factor consistency for nested linear models with a growing number of parameters

DOI10.1016/J.JSPI.2013.11.001MaRDI QIDQ389299zbMATH OpenOpenAlexWikidataFDO

Authors Min Wang, Xiaoqian Sun

Publication date 20 January 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2013.11.001

zbMATH Keywords

Bayes factormodel selection consistencyZellner's \(g\)-priorbeta-prime priorgrowing number of parameters

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4070082 (Why is no real title available?)
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• Consistency of objective Bayes factors as the model dimension grows
• Consistency of objective Bayes factors for nonnested linear models and increasing model dimension
• Default Bayesian analysis of the Behrens-Fisher problem
• Empirical Bayes vs. fully Bayes variable selection
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• Intrinsic priors for model comparison in multivariate normal regression
• Mixtures of g Priors for Bayesian Variable Selection
• Objective Bayesian Variable Selection
• Objective Testing Procedures in Linear Models: Calibration of the p‐values

Cited in

(13)

• Consistency of Bayes factors under hyper g-priors with growing model size
• Bayesian analysis of testing general hypotheses in linear models with spherically symmetric errors
• Bayes factor biases for non‐nested models and corrections
• Consistency of objective Bayes factors for nonnested linear models and increasing model dimension
• A mixture of g-priors for variable selection when the number of regressors grows with the sample size
• Consistency of Bayes factor for nonnested model selection when the model dimension grows
• 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
• A note on Bayes factor consistency in partial linear models
• Consistency of Bayesian linear model selection with a growing number of parameters
• An exact approach to ridge regression for big data
• Bayesian bandwidth test and selection for high-dimensional banded precision matrices
• Consistency of objective Bayes factors as the model dimension grows

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