Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 143, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.csda.2019.106836
Keywords
Expected-posterior prior; Model misspecification; Model selection consistency; Linear regression; Objective priors; Power-expected-posterior prior; Variable selection
Funding
- Research Centre of the Athens University of Economics and Business, Greece (Funding program Action 2 for the support of basic research)
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The power-expected-posterior (PEP) prior is an objective prior for Gaussian linear models, which leads to consistent model selection inference, under the M-closed scenario, and tends to favour parsimonious models. Recently, two new forms of the PEP prior were proposed which generalize its applicability to a wider range of models. The properties of these two PEP variants within the context of the normal linear model are examined thoroughly, focusing on the prior dispersion and on the consistency of the induced model selection procedure. Results show that both PEP variants have larger variances than the unit-information g-prior and that they are M-closed consistent as the limiting behaviour of the corresponding marginal likelihoods matches that of the BIC. The consistency under the M-open case, using three different model misspecification scenarios is further investigated. (C) 2019 Elsevier B.V. All rights reserved.
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