Fully Bayes factors with a generalized g-prior

DOI10.1214/11-AOS917zbMATH Open1231.62036arXiv0801.4410MaRDI QIDQ661180FDOQ661180

Yuzo Maruyama, Edward I. George

Publication date: 21 February 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: For the normal linear model variable selection problem, we propose selection criteria based on a fully Bayes formulation with a generalization of Zellner's $g$-prior which allows for $p>n$. A special case of the prior formulation is seen to yield tractable closed forms for marginal densities and Bayes factors which reveal new model evaluation characteristics of potential interest.

Full work available at URL: https://arxiv.org/abs/0801.4410

zbMATH Keywords

variable selectionridge regressionBayes factormodel selection consistencysingular value decomposition

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10)

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Cited In (41)

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