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arXiv · 1410.0891

Bayesian variable selection with spherically symmetric priors

M. B. De Kock·H. C. Eggers
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Abstract

We propose that Bayesian variable selection for linear parametrisations with Gaussian iid likelihoods be based on the spherical symmetry of the diagonalised parameter space. Our r-prior results in closed forms for the evidence for four examples, including the hyper-g prior and the Zellner-Siow prior, which are shown to be special cases. Scenarios of a single variable dispersion parameter and of fixed dispersion are studied, and asymptotic forms comparable to the traditional information criteria are derived. A simulation exercise shows that model comparison based on our r-prior gives good results comparable to or better than current model comparison schemes.

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M. B. De Kock, H. C. Eggers. 2015-12-10. Bayesian variable selection with spherically symmetric priors. https://arxiv.org/abs/1410.0891

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