Consistency of objective Bayes factors as the model dimension grows

DOI10.1214/09-AOS754zbMATH Open1323.62024arXiv1010.3821OpenAlexW1976575807MaRDI QIDQ987993FDOQ987993

George Casella, Elías Moreno, F. J. Girón

Publication date: 24 August 2010

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

Abstract: In the class of normal regression models with a finite number of regressors, and for a wide class of prior distributions, a Bayesian model selection procedure based on the Bayes factor is consistent [Casella and Moreno J. Amer. Statist. Assoc. 104 (2009) 1261--1271]. However, in models where the number of parameters increases as the sample size increases, properties of the Bayes factor are not totally understood. Here we study consistency of the Bayes factors for nested normal linear models when the number of regressors increases with the sample size. We pay attention to two successful tools for model selection [Schwarz Ann. Statist. 6 (1978) 461--464] approximation to the Bayes factor, and the Bayes factor for intrinsic priors [Berger and Pericchi J. Amer. Statist. Assoc. 91 (1996) 109--122, Moreno, Bertolino and Racugno J. Amer. Statist. Assoc. 93 (1998) 1451--1460]. We find that the the Schwarz approximation and the Bayes factor for intrinsic priors are consistent when the rate of growth of the dimension of the bigger model is $O(n^b)$ for $b<1$. When $b=1$ the Schwarz approximation is always inconsistent under the alternative while the Bayes factor for intrinsic priors is consistent except for a small set of alternative models which is characterized.

Full work available at URL: https://arxiv.org/abs/1010.3821

zbMATH Keywords

BIClinear modelsBayes factorsintrinsic priorsrate of growthmultiplicity of parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Paired and multiple comparisons; multiple testing (62J15)

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• Inference From Intrinsic Bayes’ Procedures Under Model Selection and Uncertainty
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• Bayesian approaches to variable selection: a comparative study from practical perspectives
• Bayesian and frequentist evidence in one-sided hypothesis testing
• Statistical Issues in Bayesian Meta-Analysis
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• Finite sample Bernstein-von Mises theorem for semiparametric problems
• The whetstone and the alum block: balanced objective Bayesian comparison of nested models for discrete data
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• Power-expected-posterior prior Bayes factor consistency for nested linear models with increasing dimensions
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• Prior distributions for objective Bayesian analysis
• A new minimal training sample scheme for intrinsic Bayes factors in censored data
• Error and inference: an outsider stand on a frequentist philosophy
• A consistent on‐line Bayesian procedure for detecting change points
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• Bayes factor asymptotics for variable selection in the Gaussian process framework
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• A note on consistency of Bayesian high-dimensional variable selection under a default prior
• Bayesian bandwidth test and selection for high-dimensional banded precision matrices
• Bayesian Model Comparison with the Hyvärinen Score: Computation and Consistency

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