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Specification of prior distributions under model uncertainty

Dellaportas, Petros, Forster, Jonathan J. and Ntzoufras, Ioannis (2009) Specification of prior distributions under model uncertainty , Southampton, UK Southampton Statistical Sciences Research Institute 22pp. (S3RI Methodology Working Papers, M09/10).

Record type: Monograph (Working Paper)


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: 13 May 2009
Keywords: bayesian inference, bic, generalised linear models, lindley’s paradox, model averaging, regression models


Local EPrints ID: 66215
PURE UUID: ff3544ee-336f-42a0-97c7-17574ca9065c

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Date deposited: 13 May 2009
Last modified: 19 Jul 2017 00:26

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Author: Petros Dellaportas
Author: Ioannis Ntzoufras

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