PEPBVS

CRANPEPBVSMaRDI QIDQ5981969FDOQ5981969

Bayesian Variable Selection using Power-Expected-Posterior Prior

Dimitris Fouskakis, Konstantina Charmpi, Ioannis Ntzoufras

Last update: 19 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0

Description

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.

Cites work

• Bayesian Graphical Models for Discrete Data
• Power-Expected-Posterior Priors as Mixtures of g-Priors in Normal Linear Models
• Bayesian Model Averaging Using Power-Expected-Posterior Priors

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