On efficient calculations for Bayesian variable selection

Publication year: 2011 Source: Computational Statistics & Data Analysis, Available online 8 October 2011 Eric Ruggieri, Charles E. Lawrencebc We describe an efficient, exact Bayesian algorithm applicable to both variable selection and model averaging problems. A fully Bayesian approach provides a more complete characterization of the posterior ensemble of possible sub-models, but presents a computational challenge as the number of candidate variables increases.

Publication year: 2011 Source: Computational Statistics & Data Analysis, Available online 8 October 2011 Eric Ruggieri, Charles E. Lawrencebc We describe an efficient, exact Bayesian algorithm applicable to both variable selection and model averaging problems. A fully Bayesian approach provides a more complete characterization of the posterior ensemble of possible sub-models, but presents a computational challenge as the number of candidate variables increases.

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On efficient calculations for Bayesian variable selection

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