Fully Bayes factors with a generalized g-prior
classification
📊 stat.ME
math.STstat.TH
keywords
bayesfactorsformulationfullymodelpriorselectionallows
read the original abstract
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.
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