Criteria for Bayesian model choice with application to variable selection

DOI10.1214/12-AOS1013zbMATH Open1257.62023arXiv1209.5240OpenAlexW2013901661MaRDI QIDQ693737FDOQ693737

Authors: M. C. Fu 

Publication date: 10 December 2012

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

Abstract: In objective Bayesian model selection, no single criterion has emerged as dominant in defining objective prior distributions. Indeed, many criteria have been separately proposed and utilized to propose differing prior choices. We first formalize the most general and compelling of the various criteria that have been suggested, together with a new criterion. We then illustrate the potential of these criteria in determining objective model selection priors by considering their application to the problem of variable selection in normal linear models. This results in a new model selection objective prior with a number of compelling properties.

Full work available at URL: https://arxiv.org/abs/1209.5240

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zbMATH Keywords

model selectionobjective Bayes

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Linear regression; mixed models (62J05) Bayesian problems; characterization of Bayes procedures (62C10)

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