JSM 2004 - Toronto

Abstract #301902

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Activity Number: 89
Type: Contributed
Date/Time: Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor: Section on Bayesian Statistical Science
Abstract - #301902
Title: Choices of Priors and Predictive Performance of Bayes Variable Selection Procedures
Author(s): Wen Cui*+
Companies: Texas State University
Address: Dept. of CIS and QMST, San Marcos, TX, 78666,
Keywords: Bayesian ; variable selection ; priors ; predictive performance
Abstract:

Bayesian approach to the variable selection problem is straightforward and promising. However, specification of priors is often difficult and guideless. In this study, the focus is on searching for a guideline of prior specifications for Bayesian variable selection procedures and obtaining the insights about the sensitivity of Bayesian variable selection procedures to various choices of priors. For this purpose, in the context of normal linear regression, variety of priors on both model parameter and model specific parameters were examined. Their ability to lead to close-form posteriors and their impact on the predictive performance of Bayesian procedures were investigated through extensive simulations.

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