Power-expected-posterior priors for variable selection in gaussian linear models

Bayesian Analysis

Volumn 10, Issue 1, 2015, Pages 75-107

  Fouskakis, Dimitris ^a   Ntzoufras, Ioannis ^b   Draper, David ^c,d  

^a NATIONAL TECHNICAL UNIVERSITY OF ATHENS   (Greece)

^b ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d EBAY INC   (United States)

Author keywords

Bayes factors; Bayesian variable selection; Consistency; Expectedposterior priors; g prior; Gaussian linear models; Hyper g prior; LASSO; Nonlocal priors; Power prior; Prior compatibility; SCAD; Training samples; Unitinformation prior

Indexed keywords

EID: 84961290415     PISSN: 19360975     EISSN: 19316690     Source Type: Journal    
DOI: 10.1214/14-BA887     Document Type: Article

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