Dilution Priors: Compensating for Model Space Redundancy

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Statistics Papers
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Model averaging
model selection
objective Bayes
prior distribution
variable selection
Physical Sciences and Mathematics
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George, Edward I
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For the general Bayesian model uncertainty framework, the focus of this paper is on the development of model space priors which can compensate for redundancy between model classes, the so-called dilution priors proposed in George (1999). Several distinct approaches for dilution prior construction are suggested. One is based on tessellation determined neighborhoods, another on collinearity adjustments, and a third on pairwise distances between models.

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2010-10-01
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IMS Collections: Borrowing Strength: Theory Powering Applications - A. Festschrift for Lawrence D. Brown
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