The Annals of Statistics
- Ann. Statist.
- Volume 39, Number 5 (2011), 2740-2765.
Fully Bayes factors with a generalized g-prior
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.
Ann. Statist., Volume 39, Number 5 (2011), 2740-2765.
First available in Project Euclid: 22 December 2011
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62F07: Ranking and selection 62F15: Bayesian inference
Secondary: 62C10: Bayesian problems; characterization of Bayes procedures
Maruyama, Yuzo; George, Edward I. Fully Bayes factors with a generalized g -prior. Ann. Statist. 39 (2011), no. 5, 2740--2765. doi:10.1214/11-AOS917. https://projecteuclid.org/euclid.aos/1324563354