APPROACHES FOR BAYESIAN VARIABLE SELECTION

Summary

Various hierarchical mixture prior formulations of variable selection uncertainty in normal linear regression models are described and compared, including the nonconjugate SSVS formulation of George and McCulloch (1993), as well as conjugate formulations which allow for analytical simplification.

Keywords

Computer science, Markov chain Monte Carlo, Normalization (sociology), Bayesian probability, Prior probability

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