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May 2012 Joint Specification of Model Space and Parameter Space Prior Distributions
Petros Dellaportas, Jonathan J. Forster, Ioannis Ntzoufras
Statist. Sci. 27(2): 232-246 (May 2012). DOI: 10.1214/11-STS369

Abstract

We consider the specification of prior distributions for Bayesian model comparison, focusing on regression-type models. We propose a particular joint specification of the prior distribution across models so that sensitivity of posterior model probabilities to the dispersion of prior distributions for the parameters of individual models (Lindley’s paradox) is diminished. We illustrate the behavior of inferential and predictive posterior quantities in linear and log-linear regressions under our proposed prior densities with a series of simulated and real data examples.

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Petros Dellaportas. Jonathan J. Forster. Ioannis Ntzoufras. "Joint Specification of Model Space and Parameter Space Prior Distributions." Statist. Sci. 27 (2) 232 - 246, May 2012. https://doi.org/10.1214/11-STS369

Information

Published: May 2012
First available in Project Euclid: 19 June 2012

zbMATH: 1330.62117
MathSciNet: MR2963994
Digital Object Identifier: 10.1214/11-STS369

Rights: Copyright © 2012 Institute of Mathematical Statistics

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Vol.27 • No. 2 • May 2012
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