A g-prior extension for p> n
نویسندگان
چکیده
For the normal linear model regression setup, Zellner’s g-prior is extended for the case where the number of predictors p exceeds the number of observations n. Exact analytical calculation of the marginal density under this prior is seen to lead to a new closed form variable selection criterion. This results are also applicable to the multivariate regression setup. AMS subject classification: Primary 62F07, 62F15, secondary 62C10, 62J07
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