Consistency of Bayes factor for nonnested model selection when the model dimension grows

DOI10.3150/15-BEJ720zbMATH Open1358.62033arXiv1503.06155WikidataQ58045607 ScholiaQ58045607MaRDI QIDQ726729FDOQ726729

Authors: Min Wang, Yuzo Maruyama 

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Zellner's $g$-prior is a popular prior choice for the model selection problems in the context of normal regression models. Wang and Sun [J. Statist. Plann. Inference 147 (2014) 95-105] recently adopt this prior and put a special hyper-prior for $g$, which results in a closed-form expression of Bayes factor for nested linear model comparisons. They have shown that under very general conditions, the Bayes factor is consistent when two competing models are of order $O(n^{au})$ for $au<1$ and for $au=1$ is almost consistent except a small inconsistency region around the null hypothesis. In this paper, we study Bayes factor consistency for nonnested linear models with a growing number of parameters. Some of the proposed results generalize the ones of the Bayes factor for the case of nested linear models. Specifically, we compare the asymptotic behaviors between the proposed Bayes factor and the intrinsic Bayes factor in the literature.

Full work available at URL: https://arxiv.org/abs/1503.06155

Recommendations

• Bayes factor consistency for nested linear models with a growing number of parameters
• Consistency of objective Bayes factors for nonnested linear models and increasing model dimension
• Consistency of objective Bayes factors as the model dimension grows
• Consistency of Bayes factors under hyper \(g\)-priors with growing model size
• Posterior consistency of \(g\)-prior for variable selection with a growing number of parameters

zbMATH Keywords

Bayes factormodel selection consistencygrowing number of parametersnonnested linear models

Mathematics Subject Classification ID

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

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Cited In (11)

• Bayesian analysis of testing general hypotheses in linear models with spherically symmetric errors
• Consistency of Bayes factors under hyper \(g\)-priors with growing model size
• Bayes factor consistency for nested linear models with a growing number of parameters
• Approximations and consistency of Bayes factors as model dimension grows
• Bayesian and frequentist evidence in one-sided hypothesis testing
• Consistency of objective Bayes factors for nonnested linear models and increasing model dimension
• Efficient functional ANOVA through wavelet-domain Markov groves
• 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
• 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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