Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging
Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts posterior model distributions to data quality.... READ MORE...

Publication date: September 2009
ISBN 9781451873498
$18.00

Add to Cart by clicking price of the language and format you'd like to purchase

Available Languages and Formats

Paperback

Publication date: September 2009

PDF

Publication date: September 2009

ePub

Publication date: September 2009

Mobi

Publication date: September 2009

English