Joint Specification of Model Space and Parameter Space Prior Distributions
Methodology
2012-07-25 v1
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.
Cite
@article{arxiv.1207.5651,
title = {Joint Specification of Model Space and Parameter Space Prior Distributions},
author = {Petros Dellaportas and Jonathan J. Forster and Ioannis Ntzoufras},
journal= {arXiv preprint arXiv:1207.5651},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/11-STS369 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)