Lecture 18: Bayesian Model Averaging & Bayesian Variable Selection

Readings

• Mixture of g-priors Liang et al (2008)

• Bayesian Data Analysis (Third Edition) by Andrew Gelman, John Carlin, Hal Stern, David Dunson, Aki Vehtari, and Donald Rubin

  • Section 14.2: Bayesian analysis of the classical regression model

• The Bayesian Choice (Second Edition) by Christian Robert

• Liang, F., Paulo, R, Molina, G. Clyde, M, Berger, J (2008) Mixtures of g-priors for Bayesian Variable Selection. Journal of the American Statistical Association, 103: 410-423

• Hoeting, J.A, Madigan, D. Raftery,A. Volinsky, C.T. (1999) Bayesian Model Averaging: A Tutorial Statistical Science, 14: 382-401

• Porwal, A & Raftery, A.E. Comparing methods for statistical inference with model uncertainty. Proceedings of the National Academy of Sciences, 119(16), e2120737119