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December, 1992 Elicitation of Prior Distributions for Variable-Selection Problems in Regression
Paul H. Garthwaite, James M. Dickey
Ann. Statist. 20(4): 1697-1719 (December, 1992). DOI: 10.1214/aos/1176348886


This paper addresses the problem of quantifying expert opinion about a normal linear regression model when there is uncertainty as to which independent variables should be included in the model. Opinion is modeled as a mixture of natural conjugate prior distributions with each distribution in the mixture corresponding to a different subset of the independent variables. It is shown that for certain values of the independent variables, the predictive distribution of the dependent variable simplifies from a mixture of $t$-distributions to a single $t$-distribution. Using this result, a method of eliciting the conjugate distributions of the mixture is developed. The method is illustrated in an example.


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Paul H. Garthwaite. James M. Dickey. "Elicitation of Prior Distributions for Variable-Selection Problems in Regression." Ann. Statist. 20 (4) 1697 - 1719, December, 1992.


Published: December, 1992
First available in Project Euclid: 12 April 2007

zbMATH: 0786.62043
MathSciNet: MR1193309
Digital Object Identifier: 10.1214/aos/1176348886

Primary: 62F15
Secondary: 62C10, 62J05

Rights: Copyright © 1992 Institute of Mathematical Statistics


Vol.20 • No. 4 • December, 1992
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