Consistency of objective Bayes factors as the model dimension grows

DOI10.1214/09-AOS754MaRDI QIDQ987993zbMATH OpenOpenAlexFDO

Authors Elías Moreno, George Casella, F. J. Girón

Publication date 24 August 2010

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

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)

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.

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Cited in

(45)

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• Introducing and analyzing the Bayesian power function as an alternative to the power function for a test
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• Bayesian Subset Modeling for High-Dimensional Generalized Linear Models
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