Joint specification of model space and parameter space prior distributions
Joint specification of model space and parameter space prior distributions
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.
232-246
Dellaportas, Petros
df8947f6-37ea-4e68-8967-eb43f777a5fd
Forster, Jonathan J.
e3c534ad-fa69-42f5-b67b-11617bc84879
Ntzoufras, Ioannis
334f2302-b765-48d1-90b6-121ec8e31131
2012
Dellaportas, Petros
df8947f6-37ea-4e68-8967-eb43f777a5fd
Forster, Jonathan J.
e3c534ad-fa69-42f5-b67b-11617bc84879
Ntzoufras, Ioannis
334f2302-b765-48d1-90b6-121ec8e31131
Dellaportas, Petros, Forster, Jonathan J. and Ntzoufras, Ioannis
(2012)
Joint specification of model space and parameter space prior distributions.
Statistical Science, 27 (2), .
(doi:10.1214/11-STS369).
Abstract
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
Identifiers
Local EPrints ID: 341028
URI: http://eprints.soton.ac.uk/id/eprint/341028
ISSN: 0883-4237
PURE UUID: 0b7ec9b9-59c1-47eb-95c9-f0fce30f0c35
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Date deposited: 11 Jul 2012 14:45
Last modified: 15 Mar 2024 02:46
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Contributors
Author:
Petros Dellaportas
Author:
Jonathan J. Forster
Author:
Ioannis Ntzoufras
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