Multivariate Bayesian variable selection and prediction

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 60, Issue 3, 1998, Pages 627-641

  Brown, P J ^a   Vannucci, M ^a   Fearn, T ^b  

^a UNIVERSITY OF KENT   (United Kingdom)

^b UNIVERSITY COLLEGE LONDON   (United Kingdom)

Author keywords

Bayesian selection; Conjugate distributions; Latent variables; Markov chain Monte Carlo method; Model averaging; Multivariate regression; Prediction

Indexed keywords

EID: 0000857113     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9868.00144     Document Type: Article

References (12)

1. Berger, J. O. and Pericchi, L.-R. (1996) The intrinsic Bayes factor for linear models. In Bayesian Statistics 5 (eds J. M. Bernardo, J. O. Berger, A. P. Dawid and A. F. M. Smith), pp. 25-44. Oxford: Clarendon.
2. Bernardo, J. M. and Smith, A. F. M. (1994) Bayesian Theory. Chichester: Wiley.
3. Brown, P. J. (1992) Wavelength selection in multicomponent near-infrared calibration. J. Chemometr., 6, 151-161.
4. _(1993) Measurement, Regression, and Calibration. Oxford: Clarendon.
5. Brown, P. J., Vannucci, M. and Fearn, T. (1998) Bayesian wavelength selection in multicomponent analysis. J. Chemometr., 12, in the press.
6. Carlin, B. P. and Chib, S. (1995) Bayesian model choice via Markov chain Monte Carlo methods. J. R. Statist. Soc. B, 57, 473-484.
7. Chipman, H. (1996) Bayesian variable selection with related predictors. Can. J. Statist., 24, 17-36.
8. Clyde, M., Desimone, H. and Parmigiani, G. (1996) Prediction via orthogonalised model mixing. J. Am. Statist. Ass., 91, 1197-1208.
9. Dawid, A. P. (1981) Some matrix-variate distribution theory: notational considerations and a Bayesian application. Biometrika, 68, 265-274.
10. Dempster, A. P. (1973) Alternatives to least squares in multiple regression. In Multivariate Statistical Inference (eds D. G. Kabe and R. P. Gupta), pp. 25-40. New York: Elsevier.
11. Wakefield, J. and Bennett, J. (1996) The Bayesian modelling of covariates for population pharmacokinetic models. J. Am. Statist. Ass., 91, 917-927.
12. Zellner, A. (1986) On assessing prior distributions and Bayesian regression analysis with g-prior distributions. In Bayesian Inference and Decision Techniques - Essays in Honour of Bruno de Finetti (eds P. K. Goel and A. Zellner), pp. 233-243. Amsterdam: North-Holland.