Joint specification of model space and parameter space prior distributions

Dellaportas, Petros, Forster, Jonathan J. and Ntzoufras, Ioannis (2012) Joint specification of model space and parameter space prior distributions. Statistical Science, 27, (2), 232-246. (doi:10.1214/11-STS369).


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We consider the specification of prior distributions for Bayesian model comparison, focusing on regression-type models. We propose a particular joint specification of the prior distribution across models so that sensitivity of posterior model probabilities to the dispersion of prior distributions for the parameters of individual models (Lindley’s paradox) is diminished. We illustrate the behavior of inferential and predictive posterior quantities in linear and log-linear regressions under our proposed prior densities with a series of simulated and real data examples.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1214/11-STS369
ISSNs: 0883-4237 (print)
Related URLs:
Subjects: H Social Sciences > HA Statistics
Divisions : Faculty of Social and Human Sciences > Mathematical Sciences > Statistics
Faculty of Social and Human Sciences > Southampton Statistical Sciences Research Institute
ePrint ID: 341028
Accepted Date and Publication Date:
Date Deposited: 11 Jul 2012 14:45
Last Modified: 15 Apr 2016 16:41

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