Bayesian Factor Analysis as a Variable-Selection Problem: Alternative Priors and Consequences

Mixtures of g-priors for Bayesian Variable Selection

Zellner’s g-prior remains a popular conventional prior for use in Bayesian variable selection, despite several undesirable consistency issues. In this paper, 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 theoreti...

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Mixtures of g-priors for Bayesian Variable Selection

Zellner’s g-prior remains a popular conventional prior for use in Bayesian variable selection, despite several undesirable consistency issues. In this paper, 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 theoreti...

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Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models

We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client and modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and w...

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Entropic Priors and Bayesian Model Selection

We demonstrate that the principle of maximum relative entropy (ME), used judiciously, can ease the specification of priors in model selection problems. The resulting effect is that models that make sharp predictions are disfavoured, weakening the usual Bayesian “Occam’s Razor”. This is illustrated with a simple example involving what Jaynes called a “sure thing” hypothesis. Jaynes’ resolution o...

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Bayesian Variable Selection in Cost-Effectiveness Analysis

Linear regression models are often used to represent the cost and effectiveness of medical treatment. The covariates used may include sociodemographic variables, such as age, gender or race; clinical variables, such as initial health status, years of treatment or the existence of concomitant illnesses; and a binary variable indicating the treatment received. However, most studies estimate only ...

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Bayesian Factor Analysis as a Variable-Selection Problem: Alternative Priors and Consequences

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چکیده

منابع مشابه

Mixtures of g-priors for Bayesian Variable Selection

Mixtures of g-priors for Bayesian Variable Selection

Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models

Entropic Priors and Bayesian Model Selection

Bayesian Variable Selection in Cost-Effectiveness Analysis

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