PEPBVS
Bayesian Variable Selection using Power-Expected-Posterior Prior
Ioannis Ntzoufras, Dimitris Fouskakis, Konstantina Charmpi
Last update: 19 September 2023
Software version identifier: 1.0
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Performs Bayesian variable selection under normal linear models for the data with the model parameters following as prior either the power-expected-posterior (PEP) or the intrinsic (a special case of the former) (Fouskakis and Ntzoufras (2022) <doi:10.1214/21-BA1288>, Fouskakis and Ntzoufras (2020) <doi:10.3390/econometrics8020017>). The prior distribution on model space is the uniform on model space or the uniform on model dimension (a special case of the beta-binomial prior). The selection can be done either with full enumeration of all possible models or using the Markov Chain Monte Carlo Model Composition (MC3) algorithm (Madigan and York (1995) <doi:10.2307/1403615>). Complementary functions for making predictions, as well as plotting and printing the results are also provided.
