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October 2011 Fully Bayes factors with a generalized g-prior
Yuzo Maruyama, Edward I. George
Ann. Statist. 39(5): 2740-2765 (October 2011). DOI: 10.1214/11-AOS917

Abstract

For the normal linear model variable selection problem, we propose selection criteria based on a fully Bayes formulation with a generalization of Zellner’s g-prior which allows for p > n. A special case of the prior formulation is seen to yield tractable closed forms for marginal densities and Bayes factors which reveal new model evaluation characteristics of potential interest.

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Yuzo Maruyama. Edward I. George. "Fully Bayes factors with a generalized g-prior." Ann. Statist. 39 (5) 2740 - 2765, October 2011. https://doi.org/10.1214/11-AOS917

Information

Published: October 2011
First available in Project Euclid: 22 December 2011

zbMATH: 1231.62036
MathSciNet: MR2906885
Digital Object Identifier: 10.1214/11-AOS917

Subjects:
Primary: 62F07, 62F15
Secondary: 62C10

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.39 • No. 5 • October 2011
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