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arxiv: 0801.4410 · v4 · pith:CKXJ3NFTnew · submitted 2008-01-29 · 📊 stat.ME · math.ST· stat.TH

Fully Bayes factors with a generalized g-prior

classification 📊 stat.ME math.STstat.TH
keywords bayesfactorsformulationfullymodelpriorselectionallows
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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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