Publications [#257803] of Merlise Clyde
- Liang, F; Paulo, R; Molina, G; Clyde, MA; Berger, JO. "Mixtures of g Priors for Bayesian Variable Selection." Journal of the American Statistical Association 103.481 (2008): 410-423. [pdf], [doi]
(last updated on 2018/08/14)
Zellner's g prior remains a popular conventional prior for use in Bayesian variable selection, despite several undesirable consistency issues. In this article we study mixtures of g priors as an alternative to default g priors that resolve many of the problems with the original formulation while maintaining the computational tractability that has made the g prior so popular. We present theoretical properties of the mixture g priors and provide real and simulated examples to compare the mixture formulation with fixed g priors, empirical Bayes approaches, and other default procedures.