Fully Bayes factors with a generalized g-prior

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.

Published in at http://dx.doi.org/10.1214/11-AOS917 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (1)

• A new class of generalized Bayes minimax ridge regression estimators

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