Posterior Odds with a Generalized Hyper-g-Prior

Citation
I. George, Edward et Maruyama, Yuzo, Posterior Odds with a Generalized Hyper-g-Prior, Econometric reviews , 33(1-4), 2014, pp. 251-269
Journal title
ISSN journal
07474938
Volume
33
Issue
1-4
Year of publication
2014
Pages
251 - 269
Database
ACNP
SICI code
Abstract
Averaged orthogonal rotations of Zellner's g-prior yield general, interpretable, closed form Bayes factors for the normal linear model variable selection problem. Coupled with a model space prior that balances the weight between the identifiable and the unidentifiable models, limiting forms for the posterior odds ratios are seen to yield new expressions for high dimensional model choice.