Fully Bayes factors with a generalized \(g\)-prior

DOI10.1214/11-AOS917zbMath1231.62036arXiv0801.4410MaRDI QIDQ661180

Yuzo Maruyama, Edward I. George

Publication date: 21 February 2012

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

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

zbMATH Keywords

singular value decomposition; Bayes factor; ridge regression; variable selection; model selection consistency

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62F15: Bayesian inference

62C10: Bayesian problems; characterization of Bayes procedures

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