Mixtures of g priors for Bayesian variable selection


Journal Article

Zellner's g prior remains a popular conventional prior for use in Bayesian variable selection, despite several undesirable consistency issues. In this article we study mixtures of g priors as an alternative to default g priors that resolve many of the problems with the original formulation while maintaining the computational tractability that has made the g prior so popular. We present theoretical properties of the mixture g priors and provide real and simulated examples to compare the mixture formulation with fixed g priors, empirical Bayes approaches, and other default procedures. © 2008 American Statistical Association.

Full Text

Duke Authors

Cited Authors

  • Liang, F; Paulo, R; Molina, G; Clyde, MA; Berger, JO

Published Date

  • March 1, 2008

Published In

Volume / Issue

  • 103 / 481

Start / End Page

  • 410 - 423

International Standard Serial Number (ISSN)

  • 0162-1459

Digital Object Identifier (DOI)

  • 10.1198/016214507000001337

Citation Source

  • Scopus