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Abstract Details
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Activity Number:
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540
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Type:
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Invited
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Date/Time:
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Wednesday, August 1, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Biometrics Section
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| Abstract - #303963 |
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Title:
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Shrinkage Adjustment for Model Selection
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Author(s):
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Edward I. George*+ and Dani Yekutieli
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Companies:
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University of Pennsylvania and Tel Aviv University
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Address:
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3730 Walnut Street, Philadelphia, PA, 19104,
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Keywords:
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Abstract:
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Should Bayesians worry about model selection? Maybe no, because after conditioning on the data, the Bayesian paradigm will make all the proper adjustments. Maybe yes, because selection which only reports effects which are "large enough" tends to yield upward biases. In this talk I will argue that the Bayesian paradigm will indeed make the proper adjustments, but only when a selection adjusted likelihood is used to acoount for selection uncertainty. In specific cases, this is seen to lead to additional selection shrinkage regardless of the prior. A general adjusted approach to Bayesian model selection is proposed.
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