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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), pp. 232-246. (doi:10.1214/11-STS369).

Record type: Article


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.

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Published date: 2012
Organisations: Statistics, Statistical Sciences Research Institute


Local EPrints ID: 341028
ISSN: 0883-4237
PURE UUID: 0b7ec9b9-59c1-47eb-95c9-f0fce30f0c35

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Date deposited: 11 Jul 2012 14:45
Last modified: 18 Jul 2017 05:39

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Author: Petros Dellaportas
Author: Ioannis Ntzoufras

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