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Posterior model probabilities via path‐based pairwise priors

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  • James O. Berger
  • German Molina

Abstract

We focus on Bayesian model selection for the variable selection problem in large model spaces. The challenge is to search the huge model space adequately, while accurately approximating model posterior probabilities for the visited models. The issue of choice of prior distributions for the visited models is also important.

Suggested Citation

  • James O. Berger & German Molina, 2005. "Posterior model probabilities via path‐based pairwise priors," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(1), pages 3-15, February.
    • Handle: RePEc:bla:stanee:v:59:y:2005:i:1:p:3-15
    DOI: 10.1111/j.1467-9574.2005.00275.x
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    Cited by:

    1. Gonzalo García-Donato & María Eugenia Castellanos & Alicia Quirós, 2021. "Bayesian Variable Selection with Applications in Health Sciences," Mathematics, MDPI, vol. 9(3), pages 1-16, January.
    2. Li Ma, 2015. "Scalable Bayesian Model Averaging Through Local Information Propagation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(510), pages 795-809, June.
    3. Davide Altomare & Guido Consonni & Luca La Rocca, 2013. "Objective Bayesian Search of Gaussian Directed Acyclic Graphical Models for Ordered Variables with Non-Local Priors," Biometrics, The International Biometric Society, vol. 69(2), pages 478-487, June.
    4. Joyee Ghosh & Andrew E. Ghattas, 2015. "Bayesian Variable Selection Under Collinearity," The American Statistician, Taylor & Francis Journals, vol. 69(3), pages 165-173, August.
    5. Davide Altomare & Guido Consonni & Luca La Rocca, 2011. "Objective Bayesian Search of Gaussian DAG Models with Non-local Priors," Quaderni di Dipartimento 140, University of Pavia, Department of Economics and Quantitative Methods.
    6. Guido Consonni & Luca La Rocca, 2010. "Moment Priors for Bayesian Model Choice with Applications to Directed Acyclic Graphs," Quaderni di Dipartimento 115, University of Pavia, Department of Economics and Quantitative Methods.

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