Empirical Bayes vs. fully Bayes variable selection
نویسندگان
چکیده
منابع مشابه
Empirical Bayes vs. Fully Bayes Variable Selection
For the problem of variable selection for the normal linear model, fixed penalty selection criteria such as AIC, Cp, BIC and RIC correspond to the posterior modes of a hierarchical Bayes model for various fixed hyperparameter settings. Adaptive selection criteria obtained by empirical Bayes estimation of the hyperparameters have been shown by George and Foster [2000. Calibration and Empirical B...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2008
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2007.02.011